Death and jackpot: Why do individual investors hold overpriced stocks?

• 成果类型: Article
• 署名作者: Conrad, Jennifer; Kapadia, Nishad; Xing, Yuhang
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Rice University; Tulane University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.04.001
• 发表日期: 2014
• 页码: 455-475
• 关键词: Distress risk; skewness; stock returns; anomalies

摘要

Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have abnormally low average future returns. We show that firms with a high potential for default (death) also tend to have a relatively high probability of extremely large (jackpot) payoffs. Consistent with an investor preference for skewed, lottery-like payoffs, stocks with high predicted probabilities for jackpot returns earn abnormally low average returns. Stocks with high death or jackpot probabilities have relatively low institutional ownership and the jackpot effect we find is much stronger in stocks with high limits to arbitrage. (C) 2014 Elsevier B.V. All rights reserved.