Investor propensity to speculate and price delay in emerging markets |
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| Affiliation: | 1. College of Management, Yuan Ze University, Taoyuan City 32001, Taiwan, ROC;2. Department of Finance, National Central University, Taoyuan City 32001, Taiwan, ROC;1. Department of Global Finance and Banking, Inha University, South Korea;2. Department of Economics, Inha University, South Korea;1. School of Economics and Management, Beihang University, Beijing 100191, China;2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;3. School of Maritime Economics and Management, Dalian Maritime University, Dalian 116026, China |
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| Abstract: | 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. |
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