Investor propensity to speculate and price delay in emerging markets

Chin-Wen Hsin and Shu-Cing Peng

International Review of Financial Analysis, 2023, vol. 86, issue C

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.

Keywords: Emerging market; Idiosyncratic volatility; Information diffusion; Lottery-type stocks; Price delay (search for similar items in EconPapers)
JEL-codes: F30 G12 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:86:y:2023:i:c:s105752192300073x

DOI: 10.1016/j.irfa.2023.102557

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