一、主题：Lottery Preference and Anomalies
二、主讲人：朱一峰，现任中央财经大学金融学院助理教授。美国Emory大学经济学博士毕业。曾担任美国Emory大学经济系客座助理教授，美国Emory大学数量经济研究所研究员。已在《Journal of Financial and Quantitative Analysis》、《Journal of Empirical Finance》、《Advances in Econometrics》、《数学物理学报》等国内外著名金融经济及数学期刊发表中英文论文多篇，另有合作译著《实证资产定价：股票横截面收益》经由人大出版社出版。
Abstract: We construct a lottery factor that aggregates the information of 16 commonly used lottery features. The lottery factor significantly improves the explanatory power of the four-factor q model in Hou, Xue, and Zhang (2015) and explains all but a few major anomaly returns. In assessing the implication of lottery preference on profitability of anomaly-based trading strategies, we find that anomaly returns are significantly stronger among stocks with strong lottery preference. Moreover, the anomaly spread portfolios are mainly driven by the short leg among stocks with stronger lottery preference. The effect of lottery feature on anomalies is not driven by financial distress and is related to investors being reluctant to short sell stocks with high lottery features due to the high upside risk.