Lottery stocks in Brazil: investigating risk premium and investor behavior

IF 1.9 Q2 BUSINESS, FINANCE

Review of Behavioral Finance Pub Date : 2024-09-12 DOI:10.1108/rbf-09-2023-0249

Gabriel Sifuentes Rocha, Márcio Poletti Laurini

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引用次数: 0

Abstract

Purpose

This study investigates the paradox of lotteries in financial markets, challenging traditional utility models predicated on rational behavior amid uncertainty. It explores why investors are drawn to lotteries despite the potential trade-off between risk-adjusted returns and sporadically substantial gains.

Design/methodology/approach

Employing a multifaceted approach, the study first scrutinizes diverse theories elucidating the perplexing behavior of lottery investors. Subsequently, it assesses the premium attached to lottery stock shares in the Brazilian financial market using distinct methodologies, thereby offering a comprehensive analysis of this phenomenon. Finally, the study estimates the risk premium associated with the lottery stocks applying an extended Fama–French multifactor model and searching for evidence of overlap with other risk-based anomalies.

Findings

This research unveils theories underpinning seemingly irrational investor behavior vis-à-vis lotteries, revealing the motivations propelling investors to willingly exchange risk-adjusted returns for the allure of substantial but infrequent gains. Empirical evidence delineates the extent of the premium paid for lottery stocks in the Brazilian market.

Originality/value

The study’s novelty lies in its amalgamation of theoretical exploration, empirical analysis and the application of the Fama–French factor model to gauge the risk premium associated with lottery-related behavior. Furthermore, its investigation of lottery stocks within the Brazilian market introduces a distinctive dimension, elucidating market dynamics and investor behaviors unique to the region.

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巴西的彩票股票：调查风险溢价和投资者行为

目的本研究探讨了金融市场中的彩票悖论，挑战了以不确定性中的理性行为为前提的传统效用模型。本研究采用了一种多层面的方法，首先仔细研究了阐明彩票投资者令人困惑的行为的各种理论。随后，研究采用不同的方法评估了巴西金融市场上彩票股票的溢价，从而对这一现象进行了全面分析。最后，该研究运用扩展的法马-法式多因素模型估算了与彩票股相关的风险溢价，并寻找与其他基于风险的异常现象重叠的证据。研究结果该研究揭示了投资者对彩票的看似非理性行为的理论基础，揭示了促使投资者心甘情愿地以风险调整后的回报换取可观但并不常见的收益诱惑的动机。原创性/价值该研究的新颖之处在于将理论探索、实证分析和法玛-弗伦奇因子模型的应用融为一体，以衡量与彩票相关行为的风险溢价。此外，该研究对巴西市场中彩票类股票的调查引入了一个独特的维度，阐明了该地区特有的市场动态和投资者行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Behavioral Finance BUSINESS, FINANCE-

CiteScore

4.70

自引率

5.00%

发文量

期刊介绍： Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.