Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?

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Financial Analysts Journal
September/October 2012 | Vol. 68 | No. 5 | 11 pages
Source: CFA Institute
Antti Ilmanen

US$0.00 Member | US$0.00 Candidate | US$15.00 Nonmember

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Abstract

Selling financial investments with insurance or lottery characteristics should earn positive long-run premiums if investors like positive skewness enough to overpay for these characteristics. The empirical evidence is unambiguous: Selling insurance and selling lottery tickets have delivered positive long-run rewards in a wide range of investment contexts. Conversely, buying financial catastrophe insurance and holding speculative lottery-like investments have delivered poor long-run rewards. Thus, bearing small risks is often well rewarded, bearing large risks not.

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Topics
Behavioral Finance
|
Derivatives
    :
  • Options Markets and Instruments
|
Equity Investments
    :
  • Equity Market Valuation and Return Analysis
|
Portfolio Management
    :
  • Risk Management
|
Risk Management
    :
  • Portfolio Risk Management
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