Stocks with lottery-type payoffs exhibit more pronounced price delay. This finding holds for emerging market stocks even when jointly considering the impact of IVOL. In a cross-market analysis, a stronger market-level propensity to speculate, gauging the strength of investor preference for lottery-type payoffs, is found to delay the price reaction to information for stocks in the market in general. These conclusions remain robust when using a random sample that mitigates the bias from unevenly distributed sample observations across markets. Our findings add to the evidence that investors' asset choices that deviate from ideal portfolio diversification influence the process of stock pricing.

具有彩票型收益的股票表现出更明显的价格延迟。即使在综合考虑 IVOL 的影响时，这一发现也适用于新兴市场股票。在跨市场分析中，市场层面更强的投机倾向（衡量投资者对彩票型收益的偏好强度）被发现会延迟市场上股票对信息的价格反应。当使用随机样本来减轻跨市场样本观察不均匀分布的偏差时，这些结论仍然稳健。我们的研究结果进一步证明，投资者偏离理想投资组合多元化的资产选择会影响股票定价过程。