Determinants and Forecasting of Jackpot Stock Returns

104 Pages Posted: 5 Jun 2018

See all articles by David Miersch

David Miersch

Cologne Graduate School in Management, Economics and Social Sciences (CGS)

Soenke Sievers

Paderborn University

Carsten Homburg

University of Cologne

Date Written: May 23, 2018

Abstract

This paper investigates the determinants of six different lottery-like stock return definitions that have been analyzed separately in prior literature. While we focus on information uncertainty as captured by accounting information, mispricing, institutional ownership and default risk as main determinants, our comprehensive framework investigates 47 independent variables as drivers of these particular stocks. Using state-of-the-art variable selection techniques, namely, stepwise regressions and the LASSO approach, we identify key drivers that differ based on the lottery stock definition used. Based on these insights, we present improved forecasting models for predicting jackpot returns.

Keywords: lottery-like stocks, jackpot stocks, jackpot stock predictability, forecasting

JEL Classification: G10, G12, G17, G33

Suggested Citation

Miersch, David and Sievers, Soenke and Homburg, Carsten, Determinants and Forecasting of Jackpot Stock Returns (May 23, 2018). Available at SSRN: https://ssrn.com/abstract=3183821 or http://dx.doi.org/10.2139/ssrn.3183821

David Miersch

Cologne Graduate School in Management, Economics and Social Sciences (CGS) ( email )

Albertus-Magnus-Platz
Cologne, 50923
Germany

HOME PAGE: http://www.uni-koeln.de/

Soenke Sievers (Contact Author)

Paderborn University ( email )

Warburger Str. 100
Paderborn, 33098
Germany

HOME PAGE: http://www.upb.de/accounting

Carsten Homburg

University of Cologne ( email )

Albertus-Magnus-Platz
Cologne, 50923
Germany

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