Lottery Demand and Stock Returns Preceding Earnings Announcements
研究发现，过去盈利公告期间出现极端正回报的股票，在当前盈利公告前10天有显著更高的风险调整后收益，高低组差异达85个基点，支持投资者偏好彩票型股票的假说。
ABSTRACT We document a significant positive relation between extreme positive stock returns around past earnings announcements and stock returns in the 10‐day window before current earnings announcements. The average of risk‐adjusted return differences between stocks with the highest earnings announcement maximum returns and stocks with the lowest earnings announcement maximum returns is 85 basis points in the 10 days leading up to earnings announcements. This is consistent with the argument that investors have a preference for stocks with large payoffs during earnings announcements.