Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Turan G. Bali, Nusret Cakici, Robert F. Whitelaw

NBER Working Paper No. 14804
Issued in March 2009

---- Acknowledgements -----

We would like to thank Yakov Amihud, Xavier Gabaix, Daniel Smith, Jeff Wurgler, and seminar participants at HEC Paris, INSEAD, New York University and Simon Fraser University for helpful comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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