THE ROLE OF INDIVIDUAL INVESTORS’ GAMBLING PREFERENCE IN THE JANUARY EFFECT

10.6291/AIAPM.2016.07.05

Nan Shao；Jungshik Hur

January Effect ； Individual Investor ； Lottery-Type Stocks ； Other January Effect

Advances in Investment Analysis and Portfolio Management

7期（2016 / 03 / 01）

85 - 119

英文

This paper hypothesizes that the greater performance of lottery-type stocks in January is stronger for stocks with greater individual investors’ ownership because individual investors prefer lottery-type stocks in the New Year. We find strong evidence supporting our hypothesis from a large sample of NYSE/AMEX/NASDAQ stocks from 1965 to 2008. Moreover, the greater performance of lottery-type stocks persists up to 6 months beyond January. We also investigate the implication of the ＂other January effect＂ (Cooper, McConnell, & Ovtchinnikov, 2006) on lottery-type stocks. Our results indicate that investors are more confident to invest in lottery-type stocks in years with positive January market return.

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