Monthly Cyclicality in Retail Investors' Liquidity and Lottery-Type Stocks at the Turn of the Month

48 Pages Posted: 11 Aug 2016

See all articles by Yun Meng

Yun Meng

University of South Florida - College of Business Administration

Christos Pantzalis

University of South Florida

Date Written: August 9, 2016

Abstract

The well-documented under performance of lottery stocks masks a within-month cyclical pattern. Demand for lottery stocks increases at the turn of the month especially in areas whose demographic profile resembles that of the typical lottery-ticket buyers (i.e., gamblers) driving their prices higher at the turn of the month. This effect is particularly pronounced among firms located in areas whose demographic profile resembles that of the typical lottery-ticket buyer and propelled by the within-month cyclicality of local investors’ personal liquidity positions. A long-short investment strategy based on this cyclical pattern of lottery stocks performance yields gross abnormal returns of about 15% per year.

Keywords: Lottery-Type Stocks, Turn-Of-The-Month Effect, Gambling

JEL Classification: G14

Suggested Citation

Meng, Yun and Pantzalis, Christos, Monthly Cyclicality in Retail Investors' Liquidity and Lottery-Type Stocks at the Turn of the Month (August 9, 2016). Available at SSRN: https://ssrn.com/abstract=2820724 or http://dx.doi.org/10.2139/ssrn.2820724

Yun Meng (Contact Author)

University of South Florida - College of Business Administration ( email )

4202 E. Fowler Avenue, BSN 3403
Tampa, FL 33620-5500
United States

Christos Pantzalis

University of South Florida ( email )

Tampa, FL 33620-5500
United States
(813) 974-3262 (Phone)

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