Investor propensity to speculate and price delay in emerging markets

Chin Wen Hsin, Shu Cing Peng

研究成果: 雜誌貢獻期刊論文同行評審


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.

期刊International Review of Financial Analysis
出版狀態已出版 - 3月 2023


深入研究「Investor propensity to speculate and price delay in emerging markets」主題。共同形成了獨特的指紋。