| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14804 |
| 来源ID | Working Paper 14804 |
| Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns | |
| Turan G. Bali; Nusret Cakici; Robert F. Whitelaw | |
| 发表日期 | 2009-03-18 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Motivated by existing evidence of a preference among investors for assets with lottery-like payoffs and that many investors are poorly diversified, we investigate the significance of extreme positive returns in the cross-sectional pricing of stocks. Portfolio-level analyses and firm-level cross-sectional regressions indicate a negative and significant relation between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk-adjusted return differences between stocks in the lowest and highest MAX deciles exceed 1% per month. These results are robust to controls for size, book-to-market, momentum, short-term reversals, liquidity, and skewness. Of particular interest, including MAX reverses the puzzling negative relation between returns and idiosyncratic volatility recently documented in Ang et al. (2006, 2008). |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14804 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572480 |
| 推荐引用方式 GB/T 7714 | Turan G. Bali,Nusret Cakici,Robert F. Whitelaw. Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14804.pdf（352KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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