Abstract
Previous literature has established that low volatility stocks outperform high volatility stocks on a risk-adjusted basis. In this Chapter, we show that this low volatility anomaly is linked to the preference for lottery stocks, which have experienced a high daily return in the previous month. Not all high volatility stocks underperform. The underperformance of high volatility stocks arises largely from the underperformance of high volatility lottery stocks. High volatility lottery stocks underperform high volatility stocks in 31 out of 32 countries.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
