The study of monthly revenue announcement, lottery demand and MAX effect in Taiwan stock market

• Main Authors: SU, YI-HUA, 蘇怡華
• Other Authors: WANG, ZI-MEI
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/trkx2v

碩士 === 銘傳大學 === 財務金融學系碩士班 === 107 === Past researches studied the impact of investors' gambling preferences on the stock market. It is considered that these investors' portfolios are insufficiently diversified. Investors are likely to have more irrational demand for assets with right-skewed. Bali, Cakici, and Whitelaw (2011) found gambling preference investors will tend to hold the stocks with maximum daily returns (MAX) and see it as an intuitive lottery-like stock to capture the characteristics of lottery demand. And the study found that high MAX stocks are easy to be overestimated in the short-term, and observed that MAX stocks had a negative correlation with expected returns in the long run, which calls the MAX effect. We use Taiwan's stocks over the period 1996 to 2018 as a sample to examine whether there is a MAX effect. And further, we study whether the MAX effect is weakened when MAX is triggered by the arrival of Taiwan's monthly revenue information. Whether the MAX effect and the sustainability of MAX are reduced. We found that stocks of modified MAX which is triggered by monthly revenue announcements accounted for more than 30% of the total modified MAX portfolio, and they did not result in the decline in future returns. Both portfolio and regression analyses show that the MAX effect is weakened when the stocks with high modified MAX is related to the monthly revenue announcement. After eliminating the modified MAX stocks related to the monthly revenue announcement and re-establishing the modified MAX portfolio, it further expressed that the modified MAX which represented investor's lottery demand had higher excess returns, and The sustainability of frequent limit hits is also significantly positive.