主 题： Are Stocks with Extreme Daily Returns Really Lottery? A Tale of Intraday and Overnight Returns
主讲人： 柯冠成 台湾暨南国际大学财金系特聘教授
主持人： 刘 强 经济学院特聘副研究员、博导
地 点： 浙江大学紫金港西区成均苑7幢金融研究院530室
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This study aims to relate the tug of war between intraday and overnight returns to investors’ lottery preference in explaining stock returns. Motivated by the notion that intraday returns are more salient to investors than overnight returns, we propose that more salient intraday returns contribute more to the overpricing of lottery stocks. To verify this conjecture, we propose two lottery proxies, namely maximum intraday return (IMAX) and maximum overnight return (OMAX). We empirically show that stocks with higher IMAX significantly underperform those with lower IMAX, and that the return predictability associated with OMAX is relatively weak. We further confirm the role of the salience theory in characterizing IMAX as a better proxy of lottery preference to explain stock returns.
柯冠成，台湾暨南国际大学财金系特聘教授，现台湾财务金融学会监事、台湾财务工程学会秘书长，曾为亚洲财务金融学会理事、于2017年担任夏威夷大学访问教授。研究领域为金融领域之资产订价、投资学与行为财务学。学术论文曾发表于Journal of Banking and Finance、Journal of Financial Markets、Journal of Empirical Finance、Pacific-Basin Finance Journal、Critical Finance Review、Quantitative Finance、Finance Research Letters、Accounting and Finance、International Review of Finance、International Review of Financial Analysis、Economic Letters等期刊。
主办：浙江大学金融研究院
承办：AFR金融理论与政策研究中心
浙江大学产业投资研究中心
2026年1月6日
