کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959822 929370 2015 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks
چکیده انگلیسی

We study returns on over-the-counter stocks and find that these returns are extremely negative on average. The distribution of OTC stock returns is highly positively skewed: while many of the stocks in our sample become worthless, a few do extremely well. We investigate whether this negative return premium can be rationalized by investors׳ preference for positively skewed payoffs. We show that the equilibrium model of Barberis and Huang (2008) provides a plausible explanation for the negative returns. We also show that OTC stocks that once traded on the regular exchanges perform much better than stocks that originate in the OTC markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 115, Issue 3, March 2015, Pages 486–504
نویسندگان
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