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Gambling Preference and the New Year Effect of Assets with Lottery Features

James Doran (), Danling Jiang and David Peterson

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines whether investors exhibit a New Year's gambling preference and whether such preference impacts prices and returns of assets with lottery features. In January, calls options have higher demand than put options, especially by small investors. In addition, relative to at-the-money calls, out-of-the-money calls are the most expensive and actively traded. In the equity markets, lottery-type stocks in the US outperform their counterparts mainly in January, but tend to underperform in other months. Lottery-type Chinese stocks outperform in the Chinese New Year month, but not in January. This New Year effect provides new insights into the broad phenomena related to the January effect.

Keywords: January effect; Gambling; Preference for skewness; Out-of-the-money options; China (search for similar items in EconPapers)
JEL-codes: G14 G11 G12 (search for similar items in EconPapers)
Date: 2008-04-08, Revised 2009-03-10
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Citations: View citations in EconPapers (3) Track citations by RSS feed

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https://mpra.ub.uni-muenchen.de/15463/1/MPRA_paper_15463.pdf original version (application/pdf)

Related works:
Journal Article: Gambling Preference and the New Year Effect of Assets with Lottery Features (2011) Downloads
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