Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

• 成果类型: Article
• 署名作者: An, Li; Wang, Huijun; Wang, Jian; Yu, Jianfeng
• 署名单位: Tsinghua University; University of Melbourne; University of Delaware; Chinese University of Hong Kong
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3205
• 发表日期: 2020
• 页码: 473-501
• 关键词: Prospect theory; lottery; Reference point; skewness; default; Failure probability; Capital gains overhang

摘要

Previous empirical studies find that lottery-like stocks significantly underperform their non-lottery-like counterparts. Using five different measures of the lottery features in the literature, we document that the anomalies associated with these measures are state dependent: the evidence supporting these anomalies is strong and robust among stocks where investors have lost money, whereas among stocks where investors have gained profits, the evidence is either weak or even reversed. Several potential explanations for such empirical findings are examined, and we document support for the explanation based on reference-dependent preferences. Our results provide a unified framework to understand the lottery-related anomalies in the literature.