Hazard stocks are the opposite of lottery stocks. We proxy hazard stocks with the minimum daily idiosyncratic return over the past month, “IMIN,” and examine the relation between hazard stocks and expected returns. The literature on lottery stocks implies that investors should discount hazard stocks. Anomalously, we find a negative relation between IMIN and future returns. Hedge portfolios that are long high IMIN stocks and short low IMIN stocks generate monthly alphas of -0.52% to -0.76%. The results are robust after controlling for numerous firm characteristics and corporate events. The hazard stock anomaly is primarily driven by limits to arbitrage and, to a lesser degree, by firm-level information uncertainty. Via the Reg SHO pilot program, we provide causal evidence that the apparent asymmetric preferences across lottery and hazard stocks are due to arbitrage asymmetry as described by Stambaugh et al. (2015). This demonstrates that asymmetric arbitrage may yield what appear to be asymmetric preferences.

危险股与彩票股相反。我们用过去一个月的最低每日特有收益“ IMIN”代理危险库存，并检查危险库存与预期收益之间的关系。有关彩票股票的文献暗示，投资者应折价危险股票。异常地，我们发现IMIN与未来收益之间存在负相关关系。IMIN长期多头和IMIN短期低头的对冲投资组合每月产生的Alpha值为-0.52％至-0.76％。在控制了许多公司特征和公司事件之后，结果是可靠的。危险库存异常主要是由套利限制所致，而在较小程度上则由企业层面的信息不确定性所驱动。通过Reg SHO试点计划，我们提供了因果证据，表明彩票和危险股之间的明显不对称偏好是由Stambaugh等人描述的套利不对称引起的。（2015）。这表明不对称套利可能会产生看似不对称的偏好。