We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. The observed...

Chinese IPOs offer investors two potential lottery-like gains. One is huge first day returns as Chinese issuers leave more money on the table than other issuers and the other is that a particular IPO may go on to become the next Alibaba in the long run. Using a sample of 862 book-built Chinese...

This paper investigates whether prospect theory (PT) or a preference for lottery-like gains on stocks can explain the peculiarities of IPO returns in China. Chinese IPOs offer investors two potential lottery-like gains. One is potentially huge first day returns as Chinese issuers leave more...