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01159nam a2200193Ia 4500 |
| 001 |
10.1016-j.jfineco.2018.06.007 |
| 008 |
220706s2018 CNT 000 0 und d |
| 020 |
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|a 0304405X (ISSN)
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| 245 |
1 |
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|a Stocks with extreme past returns: Lotteries or insurance?
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| 260 |
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|b Elsevier B.V.
|c 2018
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.1016/j.jfineco.2018.06.007
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|a 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. © 2018 Elsevier B.V.
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|a Aggregate volatility risk
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| 650 |
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|a Extreme returns
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|a Idiosyncratic volatility
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| 650 |
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|a Lottery
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| 650 |
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|a Skewness
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| 700 |
1 |
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|a Barinov, A.
|e author
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| 773 |
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|t Journal of Financial Economics
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