情绪与MAX之间的相互作用:来自新兴市场的证据

IF 1.2 Q3 BUSINESS, FINANCE Journal of Emerging Market Finance Pub Date : 2021-01-21 DOI:10.1177/0972652720969511

Nilesh Gupta, Joshy Jacob

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引用次数: 2

摘要

众所周知，喜欢买彩票的投资者会把注意力集中在那些过去回报率很少但非常高的股票上。我们研究了彩票偏好的程度，由MAX变量衡量，随着市场非理性情绪的变化而变化。我们发现，与低情绪市场相比，高max股票在高情绪市场中有更高的高估，并且获得更低的alpha。因此，具有极端MAX值的多空股票投资组合所获得的低回报主要是由于在高情绪阶段对高MAX投资组合的高估。印度股市较高的波动性也放大了投资者对彩票的偏好。JEL分类:G4, G12, G41, G11

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The Interplay Between Sentiment and MAX: Evidence from an Emerging Market

Investors with lottery preferences are known to concentrate on stocks with rare but extreme past returns. We investigate the extent to which lottery preference, measured by the MAX variable, varies with the market-wide irrational sentiment. We find that the high-MAX stocks have higher overpricing in a high-sentiment market and earn a lower alpha, compared to the low-sentiment market. Accordingly, the poor returns earned by a long-short portfolio of stocks with extreme MAX values are primarily due to the overvaluation of the high MAX-portfolio during the high sentiment phase. The higher stock volatility in India also magnifies the lottery preference of investors. JEL Classification: G4, G12, G41, G11

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.