Work detail

Gambling in Stock Markets: Empirical Evidence from Europe

Author: Mgr. Petra Vokatá
Year: 2012 - summer
Leaders: doc. Jiří Novák M.Sc., Ph.D.
Work type: Economic Theory
Language: English
Pages: 79
Awards and prizes: M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis.
Abstract: Motivated by the recent evidence of investors' preference for stocks with lottery-
type payo s documented on the U.S. stock markets, I investigate preferences for
stocks that appear to be like lotteries in Europe. Across 14 markets, lottery-
type stocks, characterized by high idiosyncratic skewness, high idiosyncratic
volatility and low price, underperform and exhibit a "lottery premium". Fur-
thermore, preferences for lottery-type stocks can help to explain the puzzling
negative relation between past idiosyncratic volatility and returns, which does
not persist after controlling for past extreme positive returns. Examining the
relation between national revenues from gambling and "lottery premium" I nd
that countries featuring higher gambling revenues also exhibit a higher "lottery
premium". Overall, the results indicate that lottery preferences might impact
investment decisions and stock prices.
Downloadable: Master Theses of Vokata


Česká Spořitelna


Patria Finance