Mardi | 2014-06-10
Salle des thèses

Yun (Eric) MENG – Cristos PANTZALIS

Lottery-type stocks outperform the rest at the turn of the month. This effect is particularly pronounced among firms located in areas whose demographic profile resembles that of the typical lottery-ticket buyers (i.e. gamblers) and partially driven by the within-month cyclicality of local investors’ personal liquidity positions. Consistent with the notion that gambling is associated with inattention, we find underreaction to earnings news issued by lottery-type firms located in areas with many gambling investors. The drift following bad news issued at the turn of the month is partly responsible for the underperformance of lottery-type stocks during non-turn of the month periods.