Which proxy: Capturing lottery feature through aggregation
从五种常用彩票度量中提取一个彩票因子，发现该因子显著增强因子模型对市场异象的解释力，尤其是偏度和价值相关异象，并揭示彩票股票的高异常回报主要源于空头头寸而非财务困境。
Abstract We develop a lottery factor from five commonly utilized lottery measures and find this factor substantially enhances the well‐known factor models concerning market anomalies, particularly those related to skewness and value. Our findings emphasize that stocks exhibiting high lottery characteristics display considerable anomaly returns, primarily due to the short position of these stocks rather than their financial distress. Moreover, our research consistently indicates that lottery stocks frequently correlate with low short volume and higher shorting fees. This implies that the preference of retail investors to hold onto lottery stocks results in a reduced supply of these shares available for lending.