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

被引：88
|
作者：
Conrad, Jennifer [1 ]
Kapadia, Nishad [4 ]
Xing, Yuhang [2 ,3 ]
机构：
[1] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA
[2] Rice Univ, Jones Grad Sch Business, Houston, TX 77005 USA
[3] China Acad Financial Res, Shanghai Adv Inst Finance, Shanghai, Peoples R China
[4] Tulane Univ, AB Freeman Sch Business, New Orleans, LA 70118 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2014年 / 113卷 / 03期
关键词：
Distress risk; Skewness; Stock returns; Anomalies; CROSS-SECTION; DISTRESS RISK; EXPECTED RETURNS; EQUITY RETURNS; DEFAULT RISK; SKEWNESS; BANKRUPTCY; LOTTERIES; PRICES; MODEL;
D O I：
10.1016/j.jfineco.2014.04.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
引用
收藏
页码：455 / 475
页数：21
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