頁籤選單縮合
題 名 | Lottery Premium in the Taiwan Stock Market |
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作 者 | Chen, Ming-hsiang; Chen, Su-jane; Yen, Meng-feng; Shen, You-chi; | 書刊名 | Asia Pacific Management Review |
卷 期 | 13:2 2008.06[民97.06] |
頁 次 | 頁545-556 |
分類號 | 563.54 |
關鍵詞 | Lottery premium; Cross-sectional regression; Stock market; Taiwan; |
語 文 | 英文(English) |
英文摘要 | This paper adopts the cross-sectional regression approach of Fama and MacBeth to examine the lottery premium phenomenon in Taiwan. With the inclusion of various risk measures, both systematic and unsystematic, a lottery premium, in the form of a significantly negative relationship between stock returns and a range of pre-specified critical values for stock price, is clearly documented. Moreover, the study shows that the lottery premium differs between the up and down markets, with the most noticeable presence in a beaten down market. Thus, investors are more inclined to gamble when they reach a panicked mood in a declining market than in an uprising market. Also, the premium is higher in the recent past than in the remote past. This finding further suggests that investors’ propensity to gamble has intensified over time. |
本系統中英文摘要資訊取自各篇刊載內容。