Qual é o preço da ação-loteria?

• Ano de defesa: 2017
• Autor(a) principal: Igreja, Eduardo Nogueira de
• Orientador(a): Pessoa, Marcelo de Sales
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Ação-loteria; Efeito do pico fim; Teoria da perspectiva; Finanças comportamentais
• Palavras-chave em Inglês: Peak-end rule; Lottery-type stocks; Prospect theory; Behavioral finance
• Link de acesso: https://hdl.handle.net/10438/21993

A lottery-type stock is a stock that presents a small probability of achieving a big positive return. If investors have utility functions based on Kahneman and Tversky’s Prospect Theory, they overestimate low probabilities. Other behavioral bias may occur when investors, analyzing data sample in retrospective, use peak-end rule, focusing their attention in the maximum point (PEAK) and at the end of sample (end). Sell the first quartile of stocks ranked by PEAK of daily returns in the last month (the 25% which had the higher PEAKS) and buy the last quartile of stocks (the 25% which had the lower PEAKS) is a profitable strategy with statistical significance (t-statistic of 2,38) in the 2000-2017 data sample of Brazilian stock market. These findings are not explained by 3-factor model of Fama-French (6,5% alpha), momentum, skewness, volatility, or traditional value-indicators, such as price-to-earnings and book-tomarket ratio