Lottery demand, lottery factor, and anomalies

IF 1.2 Q3 BUSINESS, FINANCE

Review of Financial Economics Pub Date : 2023-09-01 DOI:10.1002/rfe.1187

Turan G. Bali, Quan Wen

引用次数: 0

Abstract

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.

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彩票需求、彩票因素和异常情况

我们概述了调查（散户）投资者对彩票类股票需求的文献。我们总结了不同的彩票代理集合，并讨论了它们对个股横断面定价的影响。我们提出了经验证据，并总结了研究结果，包括（i）使用扩展数据集的彩票需求效应的稳健性，（ii）彩票需求影响的经济基础，以及（iii）彩票偏好因素对既定股市异常的解释力。

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 Financial Economics BUSINESS, FINANCE-

CiteScore

2.80

自引率

0.00%

发文量

期刊介绍： The scope of the Review of Financial Economics (RFE) is broad. The RFE publishes original research in finance (e.g. corporate finance, investments, financial institutions and international finance) and economics (e.g. monetary theory, fiscal policy, and international economics). It specifically encourages submissions that apply economic principles to financial decision making. For example, while RFE will publish papers which study the behavior of security prices and those which provide analyses of monetary and fiscal policies, it will offer a special forum for articles which examine the impact of macroeconomic factors on the behavior of security prices.