Preferences for lottery stocks at Borsa Istanbul

Name: Preferences for lottery stocks at Borsa Istanbul
Author: Alkan, U., Güner, Biliana

İsim	Preferences for lottery stocks at Borsa Istanbul
Yazar	Alkan, U., Güner, Biliana
Basım Tarihi:	2018-07
Basım Yeri	- Elsevier
Konu	Lottery preferences, Return anomalies, Investor sentiment, Limits to arbitrage
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1042-4431
Kayıt Numarası	bb4df570-1d68-4085-8e54-94cf1c83e077
Lokasyon	Business Administration
Tarih	2018-07
Notlar	Ozyegin University's Graduate School of Business
Örnek Metin	We investigate the existence of lottery-like preferences of investors at Borsa Istanbul. Proxying these preferences with demand for stocks with extreme positive returns (“MAX”), we establish that high-MAX stocks’ significantly underperform low-MAX stocks, controlling for a series of potential explanatory return characteristics. We find that the negative relationship between MAX and expected returns is driven by stocks strongly preferred by individual investors and strengthens following periods of high investor sentiment. A natural experiment suggests that the MAX discount increased during the period of temporary short-sale restrictions at Borsa Istanbul. Our findings suggest a limits-to-arbitrage explanation for the MAX anomaly.
DOI	10.1016/j.intfin.2018.02.015
Cilt	55

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Preferences for lottery stocks at Borsa Istanbul

Yazar Alkan, U., Güner, Biliana

Basım Tarihi 2018-07

Basım Yeri - Elsevier

Konu Lottery preferences, Return anomalies, Investor sentiment, Limits to arbitrage

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1042-4431

Kayıt Numarası bb4df570-1d68-4085-8e54-94cf1c83e077

Lokasyon Business Administration

Tarih 2018-07

Notlar Ozyegin University's Graduate School of Business

Örnek Metin We investigate the existence of lottery-like preferences of investors at Borsa Istanbul. Proxying these preferences with demand for stocks with extreme positive returns (“MAX”), we establish that high-MAX stocks’ significantly underperform low-MAX stocks, controlling for a series of potential explanatory return characteristics. We find that the negative relationship between MAX and expected returns is driven by stocks strongly preferred by individual investors and strengthens following periods of high investor sentiment. A natural experiment suggests that the MAX discount increased during the period of temporary short-sale restrictions at Borsa Istanbul. Our findings suggest a limits-to-arbitrage explanation for the MAX anomaly.

DOI 10.1016/j.intfin.2018.02.015

Cilt 55