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Do the rich gamble in the stock market? : low risk anomalies and wealthy households

Bali, Turan G.; Günaydin, A. Doruk; Jansson, Thomas; … - In: Journal of financial economics 150 (2023) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10014462604

Lottery mindset, mispricing and idiosyncratic volatility puzzle : evidence from the Chinese stock market

Hoang Van Hai; Park, Jong Won; Tsai, Ping-Chen; Eom, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012665099

Betting on Mean Reversion in the VIX? Evidence From the Revealed Preferences of Investors

Nielsen, Ole Linnemann - 2020

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility exposure. We find no evidence supporting that investors consider systematic risk when they evaluate VIX ETP performance. Instead, investors appear to follow a simple mean reversion...

Persistent link: https://www.econbiz.de/10012842630

Gambling Preferences, Options Markets, and Volatility

Blau, Benjamin M. - 2016

Despite assumptions of mean-variance efficiency that underlie most asset pricing models, investors have shown a penchant for positive skewness. This study documents that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble...

Persistent link: https://www.econbiz.de/10013007407

Gambling Cultures and Stock Price Volatility : A Cross-Country Analysis

Blau, Benjamin M. - 2015

In this study, we test the hypothesis that favorable attitudes towards gambling in a particular country will increase … gambling losses per adult, and legalized online gambling have less stable stock prices. These results are robust to different … causal inferences, we use the adoption of legal online gambling in France as a natural experiment and test whether the …

Persistent link: https://www.econbiz.de/10013009465

Lottery Preferences and the Idiosyncratic Volatility Puzzle

Chichernea, Doina - 2018

We investigate the empirical implications of investors' heterogeneous preferences for skewness with respect to the idiosyncratic volatility (IVOL) puzzle (the negative correlation between idiosyncratic volatility and mean returns). We show that the IVOL puzzle is stronger: (1) within those...

Persistent link: https://www.econbiz.de/10012938103

One session options : playing the announcement lottery?

Smales, Lee A.; Liu, Zhangxin; Robertson, Cameron D. - In: The journal of futures markets 42 (2022) 2, pp. 192-211

Persistent link: https://www.econbiz.de/10012817850

Lottery and bubble stocks and the cross-section of option-implied tail risks

Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - In: The journal of futures markets 42 (2022) 2, pp. 231-249

Persistent link: https://www.econbiz.de/10012817879

Low-risk effect : evidence, explanations and approaches to enhancing the performance of low-risk investment strategies

Joshipura, Mayank; Joshipura, Nehal - In: Investment management and financial innovations 17 (2020) 2, pp. 128-145

Persistent link: https://www.econbiz.de/10012303103

The MAX effect : an exploration of risk and mispricing explanations

Zhong, Angel; Gray, Philip K. - In: Journal of banking & finance 65 (2016), pp. 76-90

Persistent link: https://www.econbiz.de/10011634328