Earticle

초록

영어

The stock market has often been compared to gambling. Using daily return and volume data from January 1st, 2001 until December 31st, 2012 for all common shares listed on KOSPI and KOSDAQ in the Korea stock market, we examine the role of extreme positive returns in the cross-sectional pricing of stocks. Our argument rests on the idea that individual investors, like racetrack punters, overvalue assets with lottery-like payoff. Retail investors tend to hold poorly diversified portfolio and more susceptible to longshot bias than institutional investors. If individuals have stronger preference for lottery-type stock than institutions participating in the stock market, then stock return is related to the extreme events observed in the past, and investor overpay these stock with dreaming jackpot winners. By testing several hypotheses, We find that individual investor overpay the lottery-type stocks. This investors' tendency increases gambling inclinations in market. Unlike previous studies, we find that racetrack punters do not tend to gamble during an economic downturn. Also, there is the strong intersection effect between maximum return portfolio and volatility, and between maximum return portfolio and skewness on the preference for gamble stocks. And, there are significantly stronger with lottery stock demanded by individuals than that of institutions.

목차

Abstract
I. Introduction
II. Testable Hypotheses and Data Sources
III. Data
IV. Extreme positive returns
V. Aggregate Preferences for Lottery-type Stocks
VI. Conclusion and Further Research Questions
References

키워드

저자

• Jongoh Kim [ Professor, Department of Business, Korea National Open University ] first author
• Eunyoung Cho [ Researcher, Institute of Finance & Banking, Seoul National University ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  무역통상학회지 [Journal of Korea Research Association of International Commerce]

• 간기

  격월간

• pISSN

  1738-4354

• 수록기간

  2001~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 326 DDC 380