Stocks with extreme past returns: Lotteries or insurance?

• 成果类型: Article
• 署名作者: Barinov, Alexander
• 署名单位: University of California System; University of California Riverside
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.06.007
• 发表日期: 2018
• 页码: 458-478
• 关键词: Extreme returns; skewness; lottery; idiosyncratic volatility; Aggregate volatility risk

摘要

The paper shows that lottery-like stocks are hedges against unexpected increases in market volatility. The loading on the aggregate volatility risk factor explains the majority of low abnormal returns to stocks with high maximum returns in the past month (Bali et al., 2011) and high expected skewness (Boyer et al., 2010). Aggregate volatility risk also explains the new evidence that the maximum effect and the skewness effect are stronger for firms with high market to book or high expected probability of bankruptcy. (C) 2018 Elsevier B.V. All rights reserved.