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Keywords: Lottery-type stocks
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2021) 29 (1): 29–48.
Published: 22 March 2021
... that a stock must have at least 15 daily price observations within the month to be included in our sample. We also exclude stocks below 1,000 won (about $1). Our final sample contains a total of 293,636 firm-month observations. Extreme returns Idiosyncratic risk Lottery-type stocks Idiosyncratic...
