Lottery demand, lottery factor, and anomalies
In: Review of financial economics: RFE, Band 41, Heft 4, S. 392-407
ISSN: 1873-5924
AbstractWe 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.