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Gambling and comovement

Kumar, Alok, Page, Jeremy K. and Spalt, Oliver G. 2016, Gambling and comovement, Journal of financial and quantitative analysis, vol. 51, no. 1, pp. 85-111, doi: 10.1017/S0022109016000089.

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Title Gambling and comovement
Author(s) Kumar, Alok
Page, Jeremy K.
Spalt, Oliver G.
Journal name Journal of financial and quantitative analysis
Volume number 51
Issue number 1
Start page 85
End page 111
Total pages 27
Publisher Cambridge University Press
Place of publication Cambridge, Eng.
Publication date 2016-02
ISSN 0022-1090
1756-6916
Summary This study shows that correlated trading by gambling-motivated investors generates excess return comovement among stocks with lottery features. Lottery-like stocks comove strongly with one another, and this return comovement is strongest among lottery stocks located in regions where investors exhibit stronger gambling propensity. Looking directly at investor trades, we find that investors with a greater propensity to gamble trade lottery-like stocks more actively and that those trades are more strongly correlated. Finally, we demonstrate that time variation in general gambling enthusiasm and income shocks from fluctuating economic conditions induce a systematic component in investors' demand for lottery-like stocks.
Language eng
DOI 10.1017/S0022109016000089
Field of Research 1502 Banking, Finance And Investment
Socio Economic Objective 0 Not Applicable
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2016, Michael G. Foster School of Business, University of Washington
Persistent URL http://hdl.handle.net/10536/DRO/DU:30092550

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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