Lottery Mindsets and the Cross Sectional Returns in the Vietnam Stock Market

다국어 초록 (Multilingual Abstract)

Purpose: In this study, we evaluate the relationship between lottery-type stocks and future return in the Vietnam stock market from July 2010 to June 2023.
Design/methodology/approach: We employ portfolio-level analysis and firm-level cross-sectional regressions fol-lowing Bali et al. (2011).
Findings: We find that the minimum daily return (MINRET) is negative and statistically significant in the cross-sec-tional pricing of stocks. The minimum daily return during the previous month and anticipated stock returns are negatively and significantly correlated, according to portfolio-level analyses and firm-level cross-sectional regressions. However, the maximum daily return (MAXRET) effect is not priced in the Vietnam stock market. These findings hold up under controls for liquidity, skewness, momentum, short-term reversals, size, and book-to-market.
Research limitations/implications: This study provides an understanding of the lottery phenomenon in the empiri-cal dimension, especially in the emerging stock market.
Originality/value: Importantly, our empirical findings that the MINRET, not MAXRET, effect is strongly exhibited as a lottery-type stock's behavior in the Vietnam market.

목차 (Table of Contents)

• I. Introduction
• II. Data and Methodology
• III. Result
• IV. Conclusions
• Funding Statement
• Conflicts of Interest
• Author Contributions
• References