Doran, James and Jiang, Danling and Peterson, David (2008): Gambling Preference and the New Year Effect of Assets with Lottery Features.
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This paper examines whether investors exhibit a New Year's gambling preference and whether such preference impacts prices and returns of assets with lottery features. In January, calls options have higher demand than put options, especially by small investors. In addition, relative to at-the-money calls, out-of-the-money calls are the most expensive and actively traded. In the equity markets, lottery-type stocks in the US outperform their counterparts mainly in January, but tend to underperform in other months. Lottery-type Chinese stocks outperform in the Chinese New Year month, but not in January. This New Year effect provides new insights into the broad phenomena related to the January effect.
|Item Type:||MPRA Paper|
|Original Title:||Gambling Preference and the New Year Effect of Assets with Lottery Features|
|Keywords:||January effect, Gambling, Preference for skewness, Out-of-the-money options, China|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
|Depositing User:||Danling Jiang|
|Date Deposited:||01. Jun 2009 07:10|
|Last Modified:||13. Feb 2013 22:02|
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