Gambling and comovement
Kumar,A. Page,J. Spalt,O.G.
Kumar,A.
Page,J.
Spalt,O.G.
Abstract
This study shows that correlated trading by gambling-motivated investors generates excess return comovement among stocks with lottery features. Lottery-like stocks comove strongly with one another and this return comovement is strongest among lottery stocks located in regions where investors have a greater propensity to gamble. The relation between local gambling preferences and lottery stock comovement is amplified when local lottery ticket sales are high, and when local investors experience positive income shocks. Looking directly at investor trades, we find that investors with a greater propensity to gamble trade lottery-like stocks more actively and that those trades are more strongly correlated.
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Date
2016-02
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Research Projects
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Citation
Kumar, A, Page, J & Spalt, O G 2016, 'Gambling and comovement', Journal of Financial and Quantitative Analysis, vol. 51, no. 1, pp. 85-111. https://doi.org/10.1017/S0022109016000089
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info:eu-repo/semantics/closedAccess