Work detail

Gambling in Stock Markets: Empirical Evidence from Europe

Author: Mgr. Vokatá Petra
Year: 2012 - summer
Leaders: Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair
Consultants:
Work type: Doctoral
Language: English
Pages: 81
Awards and prizes:
Link:
Abstract: Motivated by the recent evidence of investors’ preference for stocks with lotterytype
payoffs documented on the U.S. stock markets, I investigate preferences for
stocks that appear to be like lotteries in Europe. Across 14 markets, lotterytype
stocks, characterized by high idiosyncratic skewness, high idiosyncratic
volatility and low price, underperform and exhibit a ”lottery premium”. Furthermore,
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 find
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.
Downloadable: RT Vokata

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