Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/305989 
Year of Publication: 
2024
Citation: 
[Journal:] Global Business & Finance Review (GBFR) [ISSN:] 2384-1648 [Volume:] 29 [Issue:] 4 [Year:] 2024 [Pages:] 134-143
Publisher: 
People & Global Business Association (P&GBA), Seoul
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.
Subjects: 
Minimum daily returns
Maximum daily return
Lottery stocks
Lottery mindsets
Vietnam
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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