Lottery demand, lottery factor, and anomalies

被引：0
作者：
Bali, Turan G. [1 ]
Wen, Quan [1 ]
机构：
[1] Georgetown Univ, McDonough Sch Business, Washington, DC 20057 USA
来源：
REVIEW OF FINANCIAL ECONOMICS | 2023年 / 41卷 / 04期
关键词：
anomalies; lottery factor; lottery stocks; mispricing; skewness preference; CROSS-SECTION; IDIOSYNCRATIC VOLATILITY; SKEWNESS PREFERENCE; RISK; INVESTORS; RETURN; STOCKS; LIQUIDITY; ARBITRAGE; BEHAVIOR;
D O I：
10.1002/rfe.1187
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We provide an overview of the literature investigating (retail) investors' demand for lottery-like stocks. We summarize different sets of lottery proxies and discuss their implications for cross-sectional pricing of individual stocks. We present empirical evidence and summarize the findings including (i) the robustness of the lottery demand effect using an extended data set, (ii) the economic underpinnings of the lottery demand effect, and (iii) the explanatory power of the lottery preference factor for established stock market anomalies.
引用
收藏
页码：392 / 407
页数：16
相关论文
共 72 条
  • [1] Smart money, dumb money, and capital market anomalies
    Akbas, Ferhat
    Armstrong, Will J.
    Sorescu, Sorin
    Subrahmanyam, Avanidhar
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2015, 118 (02) : 355 - 382
  • [2] Illiquidity and stock returns: cross-section and time-series effects
    Amihud, Y
    [J]. JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) : 31 - 56
  • [3] Lottery-Related Anomalies: The Role of Reference-Dependent Preferences
    An, Li
    Wang, Huijun
    Wang, Jian
    Yu, Jianfeng
    [J]. MANAGEMENT SCIENCE, 2020, 66 (01) : 473 - 501
  • [4] Are extreme returns priced in the stock market? European evidence
    Annaert, Jan
    De Ceuster, Marc
    Verstegen, Kurt
    [J]. JOURNAL OF BANKING & FINANCE, 2013, 37 (09) : 3401 - 3411
  • [5] ANOTHER LOOK AT MUTUAL FUND PERFORMANCE
    ARDITTI, FD
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1971, 6 (03) : 909 - 912
  • [6] RISK AND REQUIRED RETURN ON EQUITY
    ARDITTI, FD
    [J]. JOURNAL OF FINANCE, 1967, 22 (01) : 19 - 36
  • [7] Bali T. G., 2022, DO RICH GAMBLE STOCK
  • [8] Bali TG., 2021, ATTENTION SOCIAL INT
  • [9] Idiosyncratic volatility and the cross section of expected returns
    Bali, Turan G.
    Cakici, Nusret
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2008, 43 (01) : 29 - 58
  • [10] A Lottery-Demand-Based Explanation of the Beta Anomaly
    Bali, Turan G.
    Brown, Stephen J.
    Murray, Scott
    Tang, Yi
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2017, 52 (06) : 2369 - 2397
12345678