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This paper examines whether socio-economic and psychological factors which are known to influence lottery purchases lead to excess investment in lottery-type stocks. The results in-dicate that, unlike institutional investors, individual investors prefer stocks with lottery-type features. The...

A ‘long memory’ property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns them-selves, but the power transformation of the absolute...