Lottery-like Stocks
- Liu, Bibo, Huijun Wang, Jianfeng Yu, and Shen Zhao. "Time-varying demand for lottery: Speculation ahead of earnings announcements." Journal of Financial Economics 138, no. 3 (2020): 789-817.
与彩票型股票表现不佳的标准观点完全相反，本文发现盈余公告前5日窗口，彩票型股票的收益比非彩票型高出约52个基点。然而在盈余公告后5日窗口，这一收益差额将反转80个基点。此外，累计收益差额的这种倒V型特征在个人买卖订单不平衡、机构持仓低的公司和高赌博倾向的区域更为显著。
- Lottery measures: For US stocks, we use six variables to proxy for the lot-tery feature of stocks following prior studies.
- the maximum daily return (Maxret)
- expected idiosyncratic skewness (Skewexp)
- stock price (Prc)
- the probability of jackpot returns (Jackpotp)
- idiosyncratic volatility (Ivol)
- a composite z-score (Z-score) based on these five variables above