一、主題：Lottery Preference and Anomalies

二、主講人：朱一峰，現任bevictor伟德官网助理教授。美國Emory大學經濟學博士畢業。曾擔任美國Emory大學經濟系客座助理教授，美國Emory大學數量經濟研究所研究員。已在《Journal of Financial and Quantitative Analysis》、《Journal of Empirical Finance》、《Advances in Econometrics》、《數學物理學報》等國内外著名金融經濟及數學期刊發表中英文論文多篇，另有合作譯著《實證資産定價：股票橫截面收益》經由人大出版社出版。

三、時間：2020年6月1日星期一，上午10:00-11:30
四、地點：騰訊會議  

五、主持人：姜富偉教授，金融工程系主任

Abstract: We construct a lottery factor that aggregates the information of 16 commonly used lottery features. The lottery factor significantly improves the explanatory power of the four-factor q model in Hou, Xue, and Zhang (2015) and explains all but a few major anomaly returns. In assessing the implication of lottery preference on profitability of anomaly-based trading strategies, we find that anomaly returns are significantly stronger among stocks with strong lottery preference. Moreover, the anomaly spread portfolios are mainly driven by the short leg among stocks with stronger lottery preference. The effect of lottery feature on anomalies is not driven by financial distress and is related to investors being reluctant to short sell stocks with high lottery features due to the high upside risk.