["International Journal of Finance &Economics, EarlyView. ", "\nABSTRACT\nThis study examines how economic policy uncertainty and gambling preference affect stock returns in nine Asia‐Pacific markets. Our study obtains stock data in nine Asia‐Pacific markets from July 2002 to December 2018. We use portfolio sorting and Two‐Stage Least Squares regressions to examine the MAX anomaly in stock returns. Our findings indicate that a percentage increase in MAX reduces stock returns by 0.2022%. The MAX anomaly is also more pronounced in developed markets than in emerging markets, even after controlling for EPU. Additionally, our results suggest that a percentage increase in Economic Policy Uncertainty is associated with a 0.007% increase in stock returns. Furthermore, the results show that EPU weakens the effect of the MAX anomaly on stock returns. Our findings remain robust across Press Freedom Index partitions, price limit mechanisms, and when substituting EPU with WUI. Our findings align with asymmetric information, noise traders, anchoring, the risk–return trade‐off, asset pricing, real options theories, and prior literature. Our study offers practical implications for policymakers and investors to improve market efficiency and address stock price manipulation, thereby reducing the MAX effect across Asia‐Pacific markets.\n"]