The DOI matches its Crossref record; 51 of the 51 references it cites were found in a registry or an index.
A Lottery-Demand-Based Explanation of the Beta Anomaly
Open accessAbstract
The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta anomaly, is one of the most persistent anomalies in empirical asset pricing research. This article demonstrates that investors’ demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is no longer detected when beta-sorted portfolios are neutralized to lottery demand, regression specifications control for lottery demand, or factor models include a lottery demand factor. The beta anomaly is concentrated in stocks with low levels of institutional ownership and it exists only when the price impact of lottery demand is concentrated in high-beta stocks.
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Cites
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Cited by
Retail Traders Love 0DTE Options... But Should They?
Beckmeyer, H., Branger, N., & Gayda, L. (2023) · SSRN Electronic Journal · doi:10.2139/ssrn.4404704 · Cited by 10
Metadata
- Authors
- Bali, T. G., Brown, S. J., Murray, S., & Tang, Y.
- Venue
- Journal of Financial and Quantitative Analysis
- Publisher
- Cambridge University Press (CUP)
- Published
- 2017-12
- Volume
- 52
- Issue
- 6
- Pages
- 2369-2397
- ISSN
- 0022-1090 (ISSN-L)
- 1756-6916
- OpenAlex
- W3124339933
- Cited by
- 367
- References
- 51
- FWCI
- 35.25
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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