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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: 2011/2012
Typ práce: rigorózní 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: 03.09.2012
Datum zadání: 03.09.2012
Datum a čas obhajoby: 25.10.2012 00:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:10.09.2012
Datum proběhlé obhajoby: 25.10.2012
Oponenti: PhDr. Ivo Jánský
 
 
 
Seznam odborné literatury
• Ang, A., R. J. Hodrick, Y. Xing, & X. Zhang (2009): „High idiosyncratic volatility and low returns: International and further U.S. evidence." Journal of Financial Economics 91(1): pp. 1-23.
• Bali, T. G., N. Cakici, & R. F. Whitelaw (2011): „Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns." Journal of Financial Economics 99(2): pp. 427-46.
• Barberis, N. & M. Huang (2008): „Stocks as lotteries: The implications of probability weighting for security prices." American Economic Review 98: pp. 2066-2100.
• Doran, J. S., D. Jiang, & D. R. Peterson (2011): „Gambling Preference and the New Year Effect of Assets with Lottery Features." Review of Finance, forthcoming.
• Gao, X. & T.-C. Lin (2010): „Do Individual Investors Trade Stocks as Gambling? Evidence from Repeated Natural Experiments." Working Paper (July), University of Hong Kong.
• Ince, O. S. & R. B. Porter (2006): „Individual Equity Return Data from Thomson Datastream: Handle with Care!" Journal of Financial Research 29: pp. 463-79.
• Kumar, A., M. Brandt, A. Brav, & J. Graham (2010): „Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?" Review of Financial Studies 23(2): pp. 863-899.
• Kumar, A. (2009): „Who Gambles in the Stock Market?" The Journal of Finance 64(4): pp. 1889-1933.
• Kumar, A., J. K. Page, & O. G. Spalt (2011b): „Religious Beliefs, Gambling Attitudes, and Financial Market Outcomes." Journal of Financial Economics 102(3): pp. 671-708.
• Swiss Institute of Comparative Law (2006): „Study of Gambling Services in the Internal Market of the European Union." Final Report for European Commission.

Předběžná náplň práce v anglickém jazyce
Motivated by the recent evidence of investors' preference for stocks with lottery-type payoffs documented on the U.S. stock markets, I investigate preferences for stocks that appear to be like lotteries in Europe. Across 14 markets, lottery-type stocks, characterized by high idiosyncratic skewness, high idiosyncratic volatility and low price, underperform and exhibit a "lottery premium". Furthermore, preferences for lottery-type stocks can help to explain the puzzling negative relation between past idiosyncratic volatility and returns, which does not persist after controlling for past extreme positive returns. Examining the relation between national revenues from gambling and "lottery premium" I find that countries featuring higher gambling revenues also exhibit a higher "lottery premium". Overall, the results indicate that lottery preferences might impact investment decisions and stock prices.
 
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