학술논문
Lottery Mindsets and the Cross Sectional Returns in the Vietnam Stock Market
이용수 12
- 영문명
- Lottery Mindsets and the Cross Sectional Returns in the Vietnam Stock Market
- 발행기관
- People & Global Business Association
- 저자명
- Viet Anh Hoang Ba Thanh Truong Duong Viet Anh Hoang Van Hai
- 간행물 정보
- 『Global Business and Finance Review』Vol.29 No.4, 134~143쪽, 전체 10쪽
- 주제분류
- 경제경영 > 경영학
- 파일형태
- 발행일자
- 2024.05.30
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국문 초록
영문 초록
Purpose: In this study, we evaluate the relationship between lottery-type stocks and future return in the Vietnam stock market from July 2010 to June 2023.
Design/methodology/approach: We employ portfolio-level analysis and firm-level cross-sectional regressions fol-lowing Bali et al. (2011).
Findings: We find that the minimum daily return (MINRET) is negative and statistically significant in the cross-sec-tional pricing of stocks. The minimum daily return during the previous month and anticipated stock returns are negatively and significantly correlated, according to portfolio-level analyses and firm-level cross-sectional regressions. However, the maximum daily return (MAXRET) effect is not priced in the Vietnam stock market. These findings hold up under controls for liquidity, skewness, momentum, short-term reversals, size, and book-to-market.
Research limitations/implications: This study provides an understanding of the lottery phenomenon in the empiri-cal dimension, especially in the emerging stock market.
Originality/value: Importantly, our empirical findings that the MINRET, not MAXRET, effect is strongly exhibited as a lottery-type stock's behavior in the Vietnam market.
목차
I. Introduction
II. Data and Methodology
III. Result
IV. Conclusions
Funding Statement
Conflicts of Interest
Author Contributions
References
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