We test the predictability of eighteen stock return predictors, including classic factors such as firm size, book-to-market, and momentum, along with other proposed predictors from firm-specific, corporate investment, financing, and stock characteristic anomalies. These predictors have power to...

We explore some commonly held beliefs about individuals investing in OTC stocks (those traded on OTCBB & Pink Sheets), a fairly pervasive activity. We frame our analysis within the context of direct gambling, aspirational preferences in behavioral portfolios, and private information. Contrary to...