Maxing out: Stocks as lotteries and the cross-section of expected returns

Journal of Financial Economics

Volumn 99, Issue 2, 2011, Pages 427-446

  Bali, Turan G ^a   Cakici, Nusret ^b   Whitelaw, Robert F ^c,d  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b FORDHAM UNIVERSITY   (United States)

^c NEW YORK UNIVERSITY   (United States)

^d NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Cross sectional return predictability; Extreme returns; Idiosyncratic volatility; Lottery like payoffs; Skewness preference

Indexed keywords

EID: 78650303693     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2010.08.014     Document Type: Article

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