Stocks with extreme past returns: Lotteries or insurance?
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 skewnes...
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| Format: | Article |
| Language: | English |
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Elsevier B.V.
2018
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| Online Access: | View Fulltext in Publisher |