Short Interest and Lottery Stocks
研究发现空头兴趣相关的错误定价在彩票型股票中最强，高空头兴趣的彩票型股票月超额收益为-1.61%，而低空头兴趣的彩票型股票月超额收益为1.80%，表明彩票型股票的高噪音交易风险和交易成本阻碍了套利。
Abstract We find short interest‐related mispricing is strongest in lottery stocks. As stocks become more lottery‐like, arbitrage risk increases, resulting in higher overpricing (underpricing) in high (low) relative short interest (RSI) stocks. Monthly portfolio alphas are –1.61% for high RSI lottery stocks, whereas high RSI stocks with the least lottery‐like attributes show statistically insignificant alphas. Among lightly shorted stocks, lottery securities exhibit monthly alphas of 1.80%. Thus, although lottery stocks as a group typically underperform, investors can earn positive abnormal returns in lightly shorted lottery stocks. Our results suggest that lottery stocks’ greater noise trader risk and higher transactions costs impedes arbitrage in short interest‐related mispricing.