Lottery-Related Anomalies: The Role of Reference-Dependent Preferences
研究发现彩票型股票的异常表现取决于投资者盈亏状态：亏损时异常显著，盈利时则减弱或反转，支持参考依赖偏好解释。
Previous empirical studies find that lottery-like stocks significantly underperform their non-lottery-like counterparts. Using five different measures of the lottery features in the literature, we document that the anomalies associated with these measures are state dependent: the evidence supporting these anomalies is strong and robust among stocks where investors have lost money, whereas among stocks where investors have gained profits, the evidence is either weak or even reversed. Several potential explanations for such empirical findings are examined, and we document support for the explanation based on reference-dependent preferences. Our results provide a unified framework to understand the lottery-related anomalies in the literature. This paper was accepted by Tyler Shumway, finance.