Detail práce

Gambling in Stock Markets: Empirical Evidence from Europe

Autor: Mgr. Petra Vokatá
Rok: 2012 - letní
Vedoucí: Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair
Konzultant:
Typ práce: Diplomová
Ekonomická teorie
Jazyk: Anglicky
Stránky: 79
Ocenění: Pochvala děkana Fakulty sociálních věd za vynikající diplomovou práci.
Odkaz:
Abstrakt: Motivated by the recent evidence of investors' preference for stocks with lottery-
type payo s documented on the U.S. stock markets, I investigate preferences for
stocks that appear to be like lotteries in Europe. Across 14 markets, lottery-
type stocks, characterized by high idiosyncratic skewness, high idiosyncratic
volatility and low price, underperform and exhibit a "lottery premium". Fur-
thermore, preferences for lottery-type stocks can help to explain the puzzling
negative relation between past idiosyncratic volatility and returns, which does
not persist after controlling for past extreme positive returns. Examining the
relation between national revenues from gambling and "lottery premium" I nd
that countries featuring higher gambling revenues also exhibit a higher "lottery
premium". Overall, the results indicate that lottery preferences might impact
investment decisions and stock prices.
Ke stažení: DP Vokatá

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF