Lotteries, contrary to expectations from traditional utility models under uncertainty, attract the interest of many human beings. In the North American financial market, this phenomenon could be observed in several contexts, with individuals exchanging – consciously or not – expected risk-adjusted return for expected positively skewness, even if this implied taking more risks and obtaining lesser average returns. In this study, the various theories formulated to explain this anomaly in human behavior and, consequently, an anomaly in the returns of traded financial assets, are condensed. In addition, an investigation is carried out regarding the premium paid by anti-lottery stocks over lottery stocks in Brazil following three different methodologies and, subsequently, a multivariate analysis of the lottery factor is also carried out in conjunction with the five-factor model developed by Fama and French (2014) controlling the portfolios analyzed by size and illiquidity.
Comissão Organizadora
Anderson Odias da Silva
Claudia Yoshinaga
Ricardo D. Brito
Felipe Saraiva Iachan
Vinicius Augusto Brunassi Silva
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