Dissecting the lottery‐like anomaly: Evidence from China
Year: 2024
Type: article
Abstract: This paper dissects the lottery‐like anomaly in Chinese A‐share stocks by decomposing total stock returns into overnight and intraday returns. Our findings indicate that negative overnight returns are concentrated among lottery‐like stocks, and the lottery‐like anomaly is primarily driven by the overnight return component. Considering the unique institutional features of China, we further show that the lottery‐like anomaly induced by overnight returns is more pronounced in stocks with a high gambling preference among retail investors and high limits of arbitrage. Overall, our results suggest that investors' optimism and trading constraints have a substantial impact on market efficiency in China.
Source: Accounting and Finance
DOI: 10.1111/acfi.13354
Institutions: Xiamen University, Nanjing Audit University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4403770600