Replication Data for: Which proxy: Capturing lottery feature through aggregation

We develop a lottery factor from five commonly utilized lottery measures and find this factor substantially enhances the well-known factor models concerning market anomalies, particularly those related to skewness and value. Our findings emphasize that stocks exhibiting high lottery characteristics display considerable anomaly returns, primarily due to the short position of these stocks rather than their financial distress. Moreover, our research consistently indicates that lottery stocks frequently correlate with low short volume and higher shorting fees. This implies that the preference of retail investors to hold onto lottery stocks results in a reduced supply of these shares available for lending.我们基于五种常用的彩票型股票度量指标构建了彩票型因子（lottery factor），并发现该因子可显著提升经典因子模型对市场异象（market anomalies）的解释效能，尤其是针对偏度（skewness）与价值维度相关的市场异象。研究结果表明，具备高彩票型特征的股票会产生可观的异象收益，该收益主要源于该类股票的空头头寸，而非其自身的财务困境。此外，本研究持续证实，彩票型股票往往与较低的空头交易量及更高的融券费率呈显著相关。这意味着个人投资者（retail investors）持有彩票型股票的偏好，导致可用于融券的该类股票供给量缩减。

搜集汇总

背景与挑战

背景概述

该数据集支持一项关于彩票特征因子构建及其对市场异象解释能力的研究。研究通过聚合五种常用彩票指标构建因子，发现其能有效增强现有因子模型对偏度和价值等异象的解释力，并揭示高彩票特征股票的异象收益主要源于空头头寸限制和散户持有偏好。