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Gambling in Stock Markets: Empirical Evidence from Europe
Název práce v češtině: Hazard na akciových trzích: empirická studie Evropy
Název v anglickém jazyce: Gambling in Stock Markets: Empirical Evidence from Europe
Klíčová slova: hazard, loterijní akcie, idiosynkratická volatilita, maximální výnosy
Klíčová slova anglicky: gambling, lottery-type stocks, idiosyncratic volatility, maximum returns
Akademický rok vypsání: 2010/2011
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: Jiří Novák, M.Sc., Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 06.03.2011
Datum zadání: 06.03.2011
Datum a čas obhajoby: 28.06.2012 00:00
Místo konání obhajoby: Opetalova ul. 26
Datum odevzdání elektronické podoby:18.05.2012
Datum proběhlé obhajoby: 28.06.2012
Oponenti: PhDr. Ivo Jánský
Zásady pro vypracování
This thesis will focus on preference for stocks with lottery characteristics. The mainstream financial theory based on mean-variance framework describes investors as rational and risk averse. However, we can observe gambling behavior on stock markets as well as in state lotteries. The aim of this thesis is to show that in addition to risk aversion we can also find risk seeking behavior on stock markets. Empirical analysis will help to describe why, how, where and when investors gamble on stock markets.
Evidence of human attitude toward gambling can be traced back to primitive pre-historic societies. There are many psychological and socioeconomic factors that determine our propensity to risk and gamble. Unrealistic optimism about own returns, aspirations of higher than real wealth, hope and aversion to fear and regret are some of the factors than can explain irrational risk taking in lotteries. Friedman and Savage (1948) offered one explanation to lottery puzzle: even if people know what the risk is, they might take it to distinguish themselves; it can be the only way for them to improve their economic status.
Scandinavian countries offer a good opportunity to study stock gambling because it is the region with one of the highest lottery sales as a percentage of GDP in Europe. While on average the lottery sales count for 0.55% of GDP in European countries, in Finland they count for more than 0.8% and in Sweden for 0.796% of GDP (Garrett 2001). Although in Norway and Denmark the percentage is lower, it is still slightly higher than the average. The stock markets in Nordic countries are developed and they seem to provide a sufficient number of listed companies for empirical research.
Seznam odborné literatury
1. Ang, A., Hodrick, R. J., Xing, Y., and Zhang, X. (2009). “High idiosyncratic volatility and low returns: International and further U.S. evidence.” Journal of Financial Economics, vol. 91, iss. 1, pp. 1-23.
2. Barber, Brad M., and Terrance Odean (2001). “Boys will be boys: Gender, overconfidence, and common stock investment“. Quarterly Journal of Economics 116, pp. 261–292.
3. Barberis, Nicholas, and Ming Huang (2008). “Stocks as lotteries: The implications of probability weighting for security prices“. American Economic Review 98,pp. 2066–2100.
4. Becker, Joao L. and Sarin, Rakesh K. (1987): “Lottery dependent utility”. Management Science, Nov87, Vol. 33 Issue 11, p1367-1382, 16p.
5. Brunk, Gregory G. (1981): “A test of the Friedman-Savage gambling model“. Quarterly Journal of Economics 96, pp. 341–348.
6. Boyer, B., Mitton, T., and Vorkink, K. (2009). “Expected Idiosyncratic Skewness”. The Review of Financial Studies, v. 23, iss. 1, pp. 169-202.
7. Fama, Eugene F., and James D. MacBeth (1973). “Risk, return, and equilibrium: Empirical tests“. Journal of Political Economy 81, pp. 607–636.
8. Friedman, Milton, and Leonard J. Savage (1948): “The utility analysis of choices involving risk“. Journal of Political Economy 56, pp. 279–304.
9. Garrett, Thomas A. (2001): “An International Comparison and Analysis of Lotteries and the Distribution of Lottery Expenditures”. International Review of Applied Economics, April 2001, v. 15, iss. 2, pp. 213-27
10. Kumar, Alok (2009): “Who Gables in the Stock Market?”. Journal of Finance,Vol. LXIV, No. 4.
11. Statman, Meir (2002): “Lottery players/Stock traders“. Financial Analysts Journal 58,pp. 14–21.
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