Skewness Preferences and Gambling Cultures
29 Pages Posted: 31 Jan 2016 Last revised: 23 Mar 2016
Date Written: 2016
This paper examines the relationship between cultural attitudes towards gambling and investor preferences for skewness across 45 countries. Our results show that countries with higher gambling losses per adult, countries with legalized online gambling, and countries with the most Catholics relative to Protestants tend to display the most significant (negative) skewness premiums. In a number of other tests, we do not find that other macroeconomic characteristics, such as economic development, GDP per capita, or per capita consumption explain the presence of skewness premiums.
Keywords: Lotteries, Gambling, Skewness, Stock Returns
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