Investor propensity to speculate and price delay in emerging markets

Chin Wen Hsin; Shu Cing Peng

doi:10.1016/j.irfa.2023.102557

Investor propensity to speculate and price delay in emerging markets

Chin Wen Hsin, Shu Cing Peng

財務金融學系

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

2 引文斯高帕斯（Scopus）

摘要

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.

原文	???core.languages.en_GB???
文章編號	102557
期刊	International Review of Financial Analysis
卷	86
DOIs	https://doi.org/10.1016/j.irfa.2023.102557
出版狀態	已出版 - 3月 2023

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10.1016/j.irfa.2023.102557

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title = "Investor propensity to speculate and price delay in emerging markets",

abstract = "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.",

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AB - 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.

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KW - Idiosyncratic volatility

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Investor propensity to speculate and price delay in emerging markets

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