Lottery stock and Jackpot return: Evidence from Thailand
Post by MSF Chula at Sunday, 10 January 2021 05:15 PM

My study investigates the characteristics of lottery stock in Thailand through the logistic regression model, and tests the return generated from the probabilities of jackpot by incorporated with Fama and French three-factor model with long-short strategy.

This study finds that the characteristics of the lottery stock in Thailand are the stock, whose have positive skewness, positive past return, and volatility. The young firm and high sale growth with low liquidity also provide the characteristics of the lottery stock. In addition, the firm, whose have big market capitalization and high tangible asset tend to be lottery stock in Thailand. The result is consistent with Islam and Khandaker (2015) that on mining firms, the fixed asset or tangible asset has significant positive effect on leverage in context of Australia. Furthermore, the result is in accordance with Bottazzi and Tamagni (2011) that the stock with high market capitalization face the idiosyncratic risk about financial distress and preserve the asset as the cost of the business in Italian firms more than small firm, which lead to the high probabilities of default and the high probabilities of jackpot. For the investment strategy on jackpot probabilities, the finding is that the high probabilities of jackpot stock are likely to produce positive abnormal return and the high probabilities of jackpot tend to realize positive abnormal return after subprime crisis. The long-short strategy on lottery stock tend to outperform.

Last updated at Sunday, 10 January 2021 05:15 PM