Finance Seminar（2016-05）

Topic:Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

Speaker:Jianfeng Yu, University of Minnesota

Time:Wednesday, 9 March, 10:00-11:30

Location:Room 217, Guanghua Building 2

Abstract:

Previous empirical studies find that lottery-like stocks significantly underperform their non-lottery-like counterparts. Using five different measures of the lottery features in the literature, we document that the anomalies associated with these measures are state-dependent: the evidence supporting these anomalies is strong and robust among stocks where investors have lost money, while among stocks where investors have gained profits, the evidence is either weak or even reversed. Several potential explanations for such empirical findings are examined and we document support for the explanation based on reference-dependent preferences. Our results provide a unified framework to understand the lottery-related anomalies in the literature.

Introduction:

Jianfeng Yu is an Associate Professor in Finance at the Carlson School of Management, University of Minnesota. He also holds Piper Jaffray Professorship in Finance. He conducts both theoretical and empirical research on behavioral finance and macro finance. His research is published in academic journals such as American Economic Review, Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, Management Science, and Review of Economic Dynamics. Yu holds a B.Sci. in Probability and Statistics from University of Science and Technology of China, an M.A. in Statistics from Yale University, and a Ph.D. in Finance from University of Pennsylvania.

//carlsonschool.umn.edu/faculty/jianfeng-yu

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