Is there a lottery premium in the stock market? Persistent and significant.

被引：3

作者：

Downs, TW ^{[1
]}

Wen, Q

机构：

[1] Univ Alabama, Tuscaloosa, AL 35487 USA

[2] Insightful Corp, New York, NY 10038 USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2001年 / 28卷 / 01期

关键词：

D O I：

10.3905/jpm.2001.319827

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This research finds that extreme stock returns are associated with low-priced stocks, which in turn are correlated with a significant decline in average returns. They infer from this finding that investors in low-priced stocks accept lower (even negative) average returns as the premium paid for the chance to earn an extreme return. They refer to this sacrifice in average return the "lottery premium." Their analysis shows that the lottery premium is higher on $1 stocks than on $7 stocks; that the lottery premium, has become greater over time; and that the lottery premium is higher in up markets than in down markets.

引用

页码：112 / +

页数：9

共 12 条

[1]

[Anonymous], IDIOSYNCRATIC RISK S

[2] Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk [J].