> Bali, Cakici and Whitelaw (2011) adopt extreme positive returns as a proxy for lottery-like payoffs. Their finding indicates that stocks that exhibited the hi

> Bali, Cakici and Whitelaw (2011) adopt extreme positive returns as a proxy for lottery-like payoffs. Their finding indicates that stocks that exhibited the highest daily return (sample maximum of the daily returns) over the prior month (MAX) produced significantly lower returns over the subsequent one-month holding period. Here's how the paper defines 'lottery-like'.