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衡量指标构建了彩票型因子（lottery factor），并发现该因子可显著优化针对市场异象的主流因子模型表现，尤其是与偏度和价值相关的市场异象。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，该现象主要源于该类股票的做空头寸，而非其自身的财务困境。此外，本研究一致显示，彩票型股票通常与较低的做空成交量和更高的做空费率相关。这意味着个人投资者持有彩票型股票的偏好，会导致可用于出借的该类股票供给量缩减。