Journal of Banking & Finance Vol. 88 2018
Monthly cyclicality in retail Investors’ liquidity and lottery-type stocks at the turn of the month
Abstract
The well-documented underperformance of lottery stocks masks a within-month cyclical pattern. Demand for lottery stocks increases at the turn of the month, especially in areas whose demographic profile resembles that of typical lottery-ticket buyers (i.e., gamblers), thus driving their prices higher. This effect is rooted in local retail investors’ preference for lottery stocks and propelled by the within-month cyclicality of local investors’ personal liquidity positions. A long-short investment strategy based on this cyclical pattern of lottery stocks’ performance yields gross abnormal returns of about 12.6% per year.
- DOI
- 10.1016/j.jbankfin.2017.11.012
- Volume
- 88
- Pages
- 176-191
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib