Cultural celebrations and investor gambling behavior

We document a surge in gambling demand surrounding the Lunar New Year (LNY) period in the Chinese A-share market. Lottery-like stocks significantly outperform non-lottery-like stocks by 4.1% over the ten trading days following the LNY. These gains gradually diminish over the longer term, consistent with a short-term mispricing effect. This effect is specific to the LNY window and is not observed during other major Chinese holidays or ordinary trading periods. Furthermore, the phenomenon is not driven by state-owned enterprises or Special Treatment (ST) stocks. Overall, our findings suggest that the cultural significance of the Chinese Lunar New Year plays a distinct role in shaping investor gambling demand and asset pricing dynamics.