https://scholars.lib.ntu.edu.tw/handle/123456789/625752
標題: | Lottery demand and the asset growth anomaly | 作者: | Lu J Yang N.-T KENG-YU HO Ko K.-C. |
關鍵字: | Asset growth; Extreme returns; Lottery preferences; Lottery-like payoffs | 公開日期: | 2022 | 卷: | 48 | 來源出版物: | Finance Research Letters | 摘要: | The negative relation between asset growth (AG) and future stock returns is particularly featured by the overvaluation of high AG stocks. We propose that such overvaluation is attributed to investors’ lottery demand toward stocks with high maximum daily returns (MAX), resulting in higher AG premium among high MAX stocks. Our empirical results confirm this prediction. Further evidence indicates that the impact of lottery preference on the AG anomaly is robust to several alternative explanations, including overinvestment, limits-to-arbitrage, and the q-theory. Our study provides a new insight into the understanding of the AG anomaly. © 2022 Elsevier Inc. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85130546566&doi=10.1016%2fj.frl.2022.102988&partnerID=40&md5=418b1e73c055e54da4ee7070353b9509 https://scholars.lib.ntu.edu.tw/handle/123456789/625752 |
ISSN: | 15446123 | DOI: | 10.1016/j.frl.2022.102988 |
顯示於: | 財務金融學系 |
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