Lottery Demand and Stock Returns Preceding Earnings Announcements
创建于 更新于
摘要
This paper documents that stocks with extreme positive past earnings-announcement returns (EA_MAXRET) deliver significant market-adjusted price run-ups in the 10 trading days before current earnings announcements, with the long–short (top vs bottom decile) hedge averaging about 85 basis points in the 10-day pre-announcement window [page::0][page::6]. The effect is robust to alternative earnings-date definitions, risk adjustments, portfolio weightings, transaction-costs checks, and persists across subsamples and international tests, and is accentuated for high-attention, high-retail-ownership, and high-sentiment states and after the rise of Robinhood (post-2018) [page::7][page::12][page::13]. We interpret the evidence as consistent with lottery-demand from retail/attention-driven investors who overweight small-probability large positive earnings payoffs, producing predictable pre-announcement mispricing that largely reverts after the announcement [page::0][page::2][page::15].
