{"title":"巴西的彩票股票：调查风险溢价和投资者行为","authors":"Gabriel Sifuentes Rocha, Márcio Poletti Laurini","doi":"10.1108/rbf-09-2023-0249","DOIUrl":null,"url":null,"abstract":"<h3>Purpose</h3>\n<p>This study investigates the paradox of lotteries in financial markets, challenging traditional utility models predicated on rational behavior amid uncertainty. It explores why investors are drawn to lotteries despite the potential trade-off between risk-adjusted returns and sporadically substantial gains.</p><!--/ Abstract__block -->\n<h3>Design/methodology/approach</h3>\n<p>Employing a multifaceted approach, the study first scrutinizes diverse theories elucidating the perplexing behavior of lottery investors. Subsequently, it assesses the premium attached to lottery stock shares in the Brazilian financial market using distinct methodologies, thereby offering a comprehensive analysis of this phenomenon. Finally, the study estimates the risk premium associated with the lottery stocks applying an extended Fama–French multifactor model and searching for evidence of overlap with other risk-based anomalies.</p><!--/ Abstract__block -->\n<h3>Findings</h3>\n<p>This research unveils theories underpinning seemingly irrational investor behavior vis-à-vis lotteries, revealing the motivations propelling investors to willingly exchange risk-adjusted returns for the allure of substantial but infrequent gains. Empirical evidence delineates the extent of the premium paid for lottery stocks in the Brazilian market.</p><!--/ Abstract__block -->\n<h3>Originality/value</h3>\n<p>The study’s novelty lies in its amalgamation of theoretical exploration, empirical analysis and the application of the Fama–French factor model to gauge the risk premium associated with lottery-related behavior. Furthermore, its investigation of lottery stocks within the Brazilian market introduces a distinctive dimension, elucidating market dynamics and investor behaviors unique to the region.</p><!--/ Abstract__block -->","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"10 1","pages":""},"PeriodicalIF":1.9000,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Lottery stocks in Brazil: investigating risk premium and investor behavior\",\"authors\":\"Gabriel Sifuentes Rocha, Márcio Poletti Laurini\",\"doi\":\"10.1108/rbf-09-2023-0249\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<h3>Purpose</h3>\\n<p>This study investigates the paradox of lotteries in financial markets, challenging traditional utility models predicated on rational behavior amid uncertainty. It explores why investors are drawn to lotteries despite the potential trade-off between risk-adjusted returns and sporadically substantial gains.</p><!--/ Abstract__block -->\\n<h3>Design/methodology/approach</h3>\\n<p>Employing a multifaceted approach, the study first scrutinizes diverse theories elucidating the perplexing behavior of lottery investors. Subsequently, it assesses the premium attached to lottery stock shares in the Brazilian financial market using distinct methodologies, thereby offering a comprehensive analysis of this phenomenon. Finally, the study estimates the risk premium associated with the lottery stocks applying an extended Fama–French multifactor model and searching for evidence of overlap with other risk-based anomalies.</p><!--/ Abstract__block -->\\n<h3>Findings</h3>\\n<p>This research unveils theories underpinning seemingly irrational investor behavior vis-à-vis lotteries, revealing the motivations propelling investors to willingly exchange risk-adjusted returns for the allure of substantial but infrequent gains. Empirical evidence delineates the extent of the premium paid for lottery stocks in the Brazilian market.</p><!--/ Abstract__block -->\\n<h3>Originality/value</h3>\\n<p>The study’s novelty lies in its amalgamation of theoretical exploration, empirical analysis and the application of the Fama–French factor model to gauge the risk premium associated with lottery-related behavior. 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Lottery stocks in Brazil: investigating risk premium and investor behavior
Purpose
This study investigates the paradox of lotteries in financial markets, challenging traditional utility models predicated on rational behavior amid uncertainty. It explores why investors are drawn to lotteries despite the potential trade-off between risk-adjusted returns and sporadically substantial gains.
Design/methodology/approach
Employing a multifaceted approach, the study first scrutinizes diverse theories elucidating the perplexing behavior of lottery investors. Subsequently, it assesses the premium attached to lottery stock shares in the Brazilian financial market using distinct methodologies, thereby offering a comprehensive analysis of this phenomenon. Finally, the study estimates the risk premium associated with the lottery stocks applying an extended Fama–French multifactor model and searching for evidence of overlap with other risk-based anomalies.
Findings
This research unveils theories underpinning seemingly irrational investor behavior vis-à-vis lotteries, revealing the motivations propelling investors to willingly exchange risk-adjusted returns for the allure of substantial but infrequent gains. Empirical evidence delineates the extent of the premium paid for lottery stocks in the Brazilian market.
Originality/value
The study’s novelty lies in its amalgamation of theoretical exploration, empirical analysis and the application of the Fama–French factor model to gauge the risk premium associated with lottery-related behavior. Furthermore, its investigation of lottery stocks within the Brazilian market introduces a distinctive dimension, elucidating market dynamics and investor behaviors unique to the region.
期刊介绍：
Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.
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