Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
复制标题
DOI：
10.2139/ssrn.1262416
复制
发表时间：
2009-02
期刊：
影响因子：
--
通讯作者：
Turan G. Bali;Nusret Cakici;Robert F. Whitelaw
中科院分区：
文献类型：
--
作者：
Turan G. Bali;Nusret Cakici;Robert F. Whitelaw
现有证据表明，投资者更倾向于具有彩票般的收益的资产，而且许多投资者的多元化程度很低，出于这种动机，我们调查了极端正收益在股票横截面定价中的重要性。投资组合层面的分析和公司层面的横截面回归表明，过去一个月的最大日回报(MAX)与预期股票回报之间存在显著的负相关关系。最低和最高十进制股票之间的平均原始和风险调整后回报率差异每月超过1%。这些结果对规模、账面比、动量、短期逆转、流动性和偏度的控制是稳健的。尤其令人感兴趣的是，包括MAX在内，扭转了Ang等人最近记录的回报和特殊波动性之间令人费解的负关系。(2006、2008)。
Motivated by existing evidence of a preference among investors for assets with lottery-like payoffs and that many investors are poorly diversified, we investigate the significance of extreme positive returns in the cross-sectional pricing of stocks. Portfolio-level analyses and firm-level cross-sectional regressions indicate a negative and significant relation between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk-adjusted return differences between stocks in the lowest and highest MAX deciles exceed 1% per month. These results are robust to controls for size, book-to-market, momentum, short-term reversals, liquidity, and skewness. Of particular interest, including MAX reverses the puzzling negative relation between returns and idiosyncratic volatility recently documented in Ang et al. (2006, 2008).