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dc.contributor.authorAlkan, U.
dc.contributor.authorGüner, Biliana
dc.date.accessioned2019-01-28T10:55:23Z
dc.date.available2019-01-28T10:55:23Z
dc.date.issued2018-07
dc.identifier.issn1042-4431en_US
dc.identifier.urihttp://hdl.handle.net/10679/6123
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S1042443117304997
dc.description.abstractWe investigate the existence of lottery-like preferences of investors at Borsa Istanbul. Proxying these preferences with demand for stocks with extreme positive returns (“MAX”), we establish that high-MAX stocks’ significantly underperform low-MAX stocks, controlling for a series of potential explanatory return characteristics. We find that the negative relationship between MAX and expected returns is driven by stocks strongly preferred by individual investors and strengthens following periods of high investor sentiment. A natural experiment suggests that the MAX discount increased during the period of temporary short-sale restrictions at Borsa Istanbul. Our findings suggest a limits-to-arbitrage explanation for the MAX anomaly.en_US
dc.description.sponsorshipOzyegin University's Graduate School of Business
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of International Financial Markets, Institutions and Money
dc.rightsrestrictedAccess
dc.titlePreferences for lottery stocks at Borsa Istanbulen_US
dc.typeArticleen_US
dc.peerreviewedyesen_US
dc.publicationstatusPublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID(ORCID 0000-0001-6304-1406 & YÖK ID 143332) Güner, Biliana
dc.contributor.ozuauthorGüner, Biliana
dc.identifier.volume55en_US
dc.identifier.startpage211en_US
dc.identifier.endpage223en_US
dc.identifier.wosWOS:000441925500013
dc.identifier.doi10.1016/j.intfin.2018.02.015en_US
dc.subject.keywordsLottery preferencesen_US
dc.subject.keywordsReturn anomaliesen_US
dc.subject.keywordsInvestor sentimenten_US
dc.subject.keywordsLimits to arbitrageen_US
dc.identifier.scopusSCOPUS:2-s2.0-85042618232
dc.contributor.authorFemale1
dc.relation.publicationcategoryArticle - International Refereed Journal - Institutional Academic Staff


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