臺大管理論叢第31卷第3期

141 NTU Management Review Vol. 31 No. 3 Dec. 2021 demonstrated that investors’ demand for lottery-like stocks is state-dependent. For example, Liu, Wang, and Zhao (2020) observe a large decline in the demand for lotterylike stock when reporting financial statements. Blau, DeLisle, and Whitby (2020) suggest that because of anchoring bias, investors expect large increases in price for stocks that are currently much lower than their 52-week high, which leads to their high preference for lottery-like stocks. This study reveals that the release of financial statements by various companies in the same months results in a collective change in retail investors’ demand for lottery-like stocks, in turn strengthening the excess return comovement of lottery-like stocks.

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