Forecasting stock market returns with a lottery index: Evidence from China

被引：1

作者：

Zhang, Yaojie ^{[1
]}

Han, Qingxiang ^{[1
]}

He, Mengxi ^{[1
]}

机构：

[1] Nanjing Univ Sci & Technol, Sch Econ & Management, Xiaolingwei 200, Nanjing 210094, Peoples R China

来源：

JOURNAL OF FORECASTING | 2024年 / 43卷 / 05期

基金：

中国国家自然科学基金;

关键词：

behavioral finance; Chinese stock market; lottery preference; partial least squares; stock return predictability; INVESTOR SENTIMENT; CROSS-SECTION; CRUDE-OIL; INFORMATION; PREMIUM; PREDICTORS; SAMPLE; TESTS;

D O I：

10.1002/for.3100

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study constructs a Chinese lottery index (LI) based on six popular lottery preference variables by using the partial least squares method and examines the relationship between the LI and future stock market returns during the period from January 2000 to December 2021. We find that the LI can negatively predict stock market excess returns in-sample and out-of-sample. In addition, the LI can generate a large economic gain for a mean-variance investor. Finally, the predictive sources of the LI stem from a cash flow channel and can be explained by the positive volume-volatility relationship and investor attention.

引用

页码：1595 / 1606

页数：12

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