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The Impact of Chinese Lottery Stocks on Fund Performance

Author: YangQing
Tutor: KongDongMin
School: Huazhong University of Science and Technology
Course: Financial
Keywords: lottery stock fund performance impact
CLC:
Type: Master's thesis
Year: 2013
Downloads: 10
Quote: 0
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Abstract


Depending on the research of Kumar(2009),this article classifies stocks into lotterystocks and non-lottery stocks according to three dimensions: skewness ofearnings,volatility of idiosyncrasy and the level of stock price. Firstly,we examine theyield of lottery stocks and non-lottery stocks, and then, put forward two questions: Doinstitutional investors prefer to participate in lottery stocks?If so,does this investment oflottery stocks have impact on the performance of fund?The results show that:(1)After researching the preferences of institutional investors onlottery stocks through comparing the percentage that the market value of lottery stocksand non-lottery stocks held by institutional investors in proportion to the market value ofoutstanding shares and the total stock market, we come to an conclusion that the overallperformance of institutional investors is to avoid the lottery stocks, in other words, theinvestment of institutional investors is rational.(2)According to the study that whetherholding lottery stocks would have impact on the performance of funds, we demonstratethat the more proportion of lottery stocks held by investors, the worse of the performance,however holding more non-lottery stocks will promote the performance.(3)The differenceof the proportion of the lottery stocks and non-lottery stocks has influence on theperformance of fund. The ratio of lottery stocks to non-lottery stocks has a significanteffect on fund performance based on common stock fund data, but has no importanteffects based on the mixed share fund data. We consider this variable as a significantinstability one, so the result can’t be trusted.Our research has a clear policy implication: when the institutional investors are tryingto make investment, they should be more prudent and try their best to avoid lottery stocks.For individual investors, when they are choosing to participate the institutionalinvestments (such as fund), they can make rational judgment based on the feature oflottery stocks.

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