Sentiment Trend and Lottery-Related Anomalies

Sentiment;Trend;Lottery;Anomaly;658

경영대학 경영학과 ;

University:서울대학교 대학원

关键词: Sentiment;    Trend;    Lottery;    Anomaly;    658;   

Others  :  http://s-space.snu.ac.kr/bitstream/10371/124634/1/000000132549.pdf

美国|英语

来源: Seoul National University Open Repository

【 摘 要 】

Motivated by existing theories on investor sentiment, I study how sentiment trend affects the cross-section of lottery-related anomaly returns. I predict that overpricing should be prevalent after an uptrend is observed because investors extrapolate past trends to predict whether the market will remain bullish. Moreover, I expect that the uptrend effect will manifest only when the overall sentiment is optimistic due to short-sale impediment. Long–short strategies exploiting anomalies exhibit profits consistent with this prediction.