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The beta anomaly in the Australian stock market and the lottery demand
Bradrania, Reza; Veron, Jose Francisco - In: Pacific-Basin finance journal 77 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014463612
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A Lottery Demand-Based Explanation of the Beta Anomaly
Bali, Turan G. - 2016
The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent anomalies in empirical asset pricing research. This paper demonstrates that investors' demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is...
Persistent link: https://www.econbiz.de/10013006629
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A lottery-demand-based explanation of the beta anomaly
Bali, Turan G.; Brown, Stephen J.; Murray, Scott; Tang, Yi - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2369-2397
Persistent link: https://www.econbiz.de/10011929337
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Is maximum daily return a lottery? : evidence from monthly revenue announcements
Wang, Zi-Mei; Lien, Da-hsiang Donald - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 545-600
Persistent link: https://www.econbiz.de/10013459298
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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
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Betting against correlation : testing theories of the low-risk effect
Asness, Cliff; Frazzini, Andrea; Gormsen, Niels; … - In: Journal of financial economics 135 (2020) 3, pp. 629-652
Persistent link: https://www.econbiz.de/10012543201
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Does behavioral-motivated volatility effect explain the beta anomaly? : evidence from China
Zhao, Lu; Lin, Lei - In: Finance research letters 46 (2022) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10013341295
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Option-implied lottery demand and IPO returns
Dierkes, Maik; Krupski, Jan; Schroen, Sebastian - In: Journal of economic dynamics & control 138 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013464729
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Salience theory and mutual fund flows : empirical evidence from China
Hu, Shiyang; Xiang, Cheng; Quan, Xiaofeng - In: Emerging markets review 54 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014336717
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Loss from the chasing of MAX stocks : evidence from China
Gao, Ya; Han, Xing; Xiong, Xiong - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013188437