Conditional demand for lottery-type stocks: Information spillovers and asset prices comovement

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2026-05-01 Epub Date: 2026-03-06 DOI:10.1016/j.irfa.2026.105145

Yu Zhang , Konstantina Kappou , Andrew Urquhart

引用次数: 0

Abstract

Previous literature has shown that investors’ demand for lottery-type stocks is conditional on a number of factors, and that these stocks underperform in the long run compared to non-lottery-type stocks. We document that investors’ demand for lottery-type stocks is conditional on days with information spillovers. Specifically, on macroeconomic news days, the demand for lottery-type stocks depends on information content, and their prices more closely follow the market index movements. This comovement tends to persist on FOMC announcement days and for firms without overlapping earnings announcements. We provide an information-based theory to explain the empirical pattern.

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彩票类股票的条件需求：信息溢出与资产价格变动

先前的文献表明，投资者对彩票类股票的需求取决于许多因素，并且这些股票在长期内与非彩票类股票相比表现不佳。我们证明投资者对彩票类股票的需求取决于信息溢出的天数。具体而言，在宏观经济新闻日，对彩票类股票的需求取决于信息内容，其价格更密切地跟随市场指数的走势。这种波动倾向于在FOMC公告日和没有重叠收益公告的公司持续存在。我们提供了一个基于信息的理论来解释经验模式。

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

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.