Investors with lottery preferences are known to concentrate on stocks with rare but extreme past returns. We investigate the extent to which lottery preference, measured by the MAX variable, varies with the market-wide irrational sentiment. We find that the high-MAX stocks have higher overpricing in a high-sentiment market and earn a lower alpha, compared to the low-sentiment market. Accordingly, the poor returns earned by a long-short portfolio of stocks with extreme MAX values are primarily due to the overvaluation of the high MAX-portfolio during the high sentiment phase. The higher stock volatility in India also magnifies the lottery preference of investors.

JEL Classification: G4, G12, G41, G11

众所周知，具有彩票偏爱的投资者将注意力集中在回报率极低但极高的股票上。我们调查了由MAX变量衡量的彩票偏好随着市场范围内的非理性情绪而变化的程度。我们发现，与低情感市场相比，高情感市场中的高MAX股票定价较高，而alpha值较低。因此，具有极高MAX值的多空股票投资组合所获得的不良收益主要是由于在高人气阶段高MAX组合的高估。印度较高的股票波动率也放大了投资者对彩票的偏爱。

JEL分类： G4，G12，G41，G11