Investor propensity to speculate and price delay in emerging markets

Chin Wen Hsin, Shu Cing Peng

Research output: Contribution to journalArticlepeer-review


Stocks with lottery-type payoffs exhibit more pronounced price delay. This finding holds for emerging market stocks even when jointly considering the impact of IVOL. In a cross-market analysis, a stronger market-level propensity to speculate, gauging the strength of investor preference for lottery-type payoffs, is found to delay the price reaction to information for stocks in the market in general. These conclusions remain robust when using a random sample that mitigates the bias from unevenly distributed sample observations across markets. Our findings add to the evidence that investors' asset choices that deviate from ideal portfolio diversification influence the process of stock pricing.

Original languageEnglish
Article number102557
JournalInternational Review of Financial Analysis
StatePublished - Mar 2023


  • Emerging market
  • Idiosyncratic volatility
  • Information diffusion
  • Lottery-type stocks
  • Price delay


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