Download This PaperAttention, Social Interaction, and Investor Attraction to Lottery Stocks
9th Miami Behavioral Finance Conference 2018
Baruch College Zicklin School of Business Research Paper No. 2019-03-01
Georgetown McDonough School of Business Research Paper No. 3343769
70 Pages Posted: 15 Mar 2019 Last revised: 10 Dec 2021
There are 2 versions of this paper
Attention, Social Interaction, and Investor Attraction to Lottery Stocks
Attention, Social Interaction, and Investor Attraction to Lottery Stocks
Date Written: February 27, 2019
Abstract
We find that among stocks dominated by retail investors, the lottery anomaly is amplified by high investor attention (proxied by high analyst coverage, salient earnings surprises, or recency of extreme positive returns) and intense social interactions (proxied by Facebook social connectedness or population density near firm headquarters). Such stocks' lottery features attract greater Google search volume and retail net buying, followed by more negative earnings surprises and lower announcement-period returns. The findings provide insight into the roles of attention and social interaction in securities markets, and support the hypothesis that these forces contribute to investor attraction to lottery stocks.
Keywords: lottery stocks, investor attention, social interactions, social network, MAX, skewness, retail investors.
JEL Classification: G10, G11, G12, G14, C13, E20, E30
Suggested Citation: Suggested Citation
Turan G. Bali (Contact Author)
Georgetown University - McDonough School of Business ( email )
3700 O Street, NW
Washington, DC 20057
United States
(202) 687-5388 (Phone)
(202) 687-4031 (Fax)
HOME PAGE: https://sites.google.com/a/georgetown.edu/turan-bali
David Hirshleifer
University of Southern California - Marshall School of Business - Finance and Business Economics Department ( email )
Marshall School of Business
Los Angeles, CA 90089
United States
HOME PAGE: http://https://sites.uci.edu/dhirshle/
