Conditional demand for lottery-type stocks: Information spillovers and asset prices comovement
研究发现投资者对彩票型股票的需求在宏观经济新闻日受信息内容影响，其价格更紧密跟随市场指数，这种联动在FOMC公告日和没有重叠盈利公告的公司中持续存在。
Previous literature has shown that investors’ demand for lottery-type stocks is conditional on a number of factors, and that these stocks underperform in the long run compared to non-lottery-type stocks. We document that investors’ demand for lottery-type stocks is conditional on days with information spillovers. Specifically, on macroeconomic news days, the demand for lottery-type stocks depends on information content, and their prices more closely follow the market index movements. This comovement tends to persist on FOMC announcement days and for firms without overlapping earnings announcements. We provide an information-based theory to explain the empirical pattern.