Essays about: "Lottery stocks"

Showing result 1 - 5 of 6 essays containing the words Lottery stocks.

1. 1. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Dominik Schleuss; Tavish Gantz; [2021]
   Keywords : MAX Effect; Extreme returns; Cross-section of returns; Lottery-like payoffs; Behavioral Finance;

   Abstract : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. READ MORE

3. 2. The MAX Effect and Investor Sentiment in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Soroush Mojtahedi; Artemy Savin; [2021]
   Keywords : MAX Effect; Extreme Returns; Investor Sentiment; Lottery-type Stocks; Stock Return Predictability;

   Abstract : Motivated by existing literature about the effect of maximum daily returns (MAX) on subsequent stock returns and the link between this effect and market sentiment, we investigate the possible effect of MAX on stock performance in Sweden and its relation with market sentiment. Portfolio-level analyses show evidence of MAX negatively affecting returns of stocks listed in Sweden, while firm-level cross-sectional regressions show that MAX has little or no effect on individual stocks' returns. READ MORE

4. 3. Beyond Rational - A study on the drivers of the beta anomaly in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Karl Hellgren; Alexander Helmy; [2017]
   Keywords : Beta anomaly; Betting against beta; Lottery demand; Leverage constraints; Asset pricing;

   Abstract : Inspired by previous findings that low (high) beta stocks earn abnormally high (low) returns we set out to explore this relation, often called the beta anomaly. We prove that the beta anomaly is present in our sample of Swedish stocks. The alpha generated by a betting against beta portfolio that exploits the beta anomaly is 1.71% per month. READ MORE

5. 4. The MAX effect and what drives it - Evidence from the Swedish stock market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Alexander Helmy; Karl Hellgren; [2015]
   Keywords : MAX effect; ; lottery-type stocks; cross-sectional return predictability; individual investor purchasing behavior;

   Abstract : Inspired by previous findings on the cross-sectional relationship between extreme positive daily stock returns and subsequent negative returns in the US and euro-zone markets, we search for its presence in the Swedish market. We argue that this effect, known as the MAX effect, is mainly driven by individual investors seeking lottery-like payoffs. READ MORE

6. 5. The principal agent

   University essay from Högskolan Kristianstad/Sektionen för hälsa och samhälle

   Author : Emanuel Brusewitz Collin; Andreas Svensson; [2014]
   Keywords : low priced stocks; effective markets; lemon market;

   Abstract : Problem: How can segments on Aktietorget explain how a lemon market can not only survive but grow? Purpose: The purpose is to try to explain how Aktietorget can grow under lemon market conditions by gauging investor groupings investment tendencies. Method: Quantitative archival study regarding returns and price per share depending on investor identity. READ MORE