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Lottery demand, lottery factor, and anomalies

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  • Turan G. Bali
  • Quan Wen

Abstract

We provide an overview of the literature investigating (retail) investors' demand for lottery‐like stocks. We summarize different sets of lottery proxies and discuss their implications for cross‐sectional pricing of individual stocks. We present empirical evidence and summarize the findings including (i) the robustness of the lottery demand effect using an extended data set, (ii) the economic underpinnings of the lottery demand effect, and (iii) the explanatory power of the lottery preference factor for established stock market anomalies.

Suggested Citation

  • Turan G. Bali & Quan Wen, 2023. "Lottery demand, lottery factor, and anomalies," Review of Financial Economics, John Wiley & Sons, vol. 41(4), pages 392-407, October.
    • Handle: RePEc:wly:revfec:v:41:y:2023:i:4:p:392-407
    DOI: 10.1002/rfe.1187
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