We construct a new quantile based lottery measure — QBL to evaluate the lottery preference feature of stocks. The new measure is different from the commonly used lottery proxies: maximum daily return (MAX) and skewness (SKEW). The relationship between the QBL and expected returns is negative...

In this paper, we utilize ridge regression and develop a novel set of characteristics-based factors, referred to as "ridge factors". We demonstrate that use of the ridge factors enables the creation of a Bayesian average SDF, which can shrink the relative contribution of low-variance principle...

In this study, we examine 47 cryptocurrency market anomalies from 2014 to 2022 and find that only 13 of them exhibit significant cross-sectional predictive capabilities for expected returns. Our findings reveal that during periods of low sentiment, investors show a feature of lottery preference,...