Published: 16 November 2020| Version 1 | DOI: 10.17632/5k4ktg2r6y.1
Zi-May Wang


The Taiwanese stock market offers an ideal setting for examining how notable corporate events influence the gambling anomaly apart from announcing their quarterly earnings because listed companies are required to announce their monthly revenue. In this study, after using the limit-hitting rate (LHR) to proxy a stock’s lottery likeness, we identify a significantly modified maximum daily return (MAX) effect in the previous month. This effect is demonstrated by a higher LHR, which leads to lower subsequent returns. However, when the high LHR is associated with monthly revenue announcement, this type of stock becomes significantly less appealing to individual investors, and individual order imbalances drop substantially, consequently diminishing the modified MAX effect. Finally, our findings reveal that monthly revenue announcements provide investors with up-to-date information regarding company operations with greater frequency and promptness, thereby offering greater insight than earnings announcements and playing a dominant role in the modified MAX effect.



Behavioral Finance