國立臺北大學統計學系

專題演講

 

講題：Identifying lottery-like stocks via lottery jackpots

主講人：洪志清 教授（國立臺灣大學財務金融學系）

時間：115年05月27日 (星期三，13：10~15：00)

地點：三峽校區商學院3F13教室

Abstract

We propose a new method to identify lottery-like stocks by leveraging the substitution effect between real lotteries and lottery-like stocks, exploiting declines in retail trading volume on days when large lottery jackpots roll over. Stocks classified as lottery-like under this approach underperform non-lottery-like stocks by 3.31 percentage points over the subsequent year. Unlike traditional measures, our method does not rely on price or return information and is therefore insulated from overvaluation induced by other factors. The results remain robust after controlling for traditional lottery-like characteristics, adjusting for risk factors, and applying Fama–MacBeth regressions, sequential double-sorting, capped value-weighted returns, and subsample analyses.

~歡迎參加~

國立臺北大學統計學系  敬邀

115.05.20

附件：演講摘要