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Manchester Grand Hyatt, Seaport A
American Finance Association
Asset Specificity and Prices
Saturday, Jan. 4, 2020 10:15 AM - 12:15 PM (PDT)
- Chair: Liyan Yang, University of Toronto
Attention, Social Interaction, and Investor Attraction to Lottery Stocks
AbstractWe test the hypothesis that retail investors' attraction to lottery stocks induces overvaluation, and is amplified by high attention and social interactions. The lottery premium (negative abnormal returns) is stronger for high-retail-ownership stocks—especially those that also have high analyst coverage, high latest absolute earnings surprises, or extreme recent positive returns. The premium is also larger for high-retail-ownership stocks headquartered in counties with high social interactions, proxied by headquarter population density or Facebook social connectivity. Google search activities in response to large extreme returns are also consistent with the role of attention in attracting investors to lottery stocks.
Do Municipal Bond Dealers Give their Customers 'Fair and Reasonable' Pricing?
University of Illinois
University of California-San Diego
Johns Hopkins University
- G1 - General Financial Markets