In this paper, we re-evaluate a broad set of lottery-related anomalies motivated by p-hacking concerns raised by Hou, Xue, and Zhang (2020) who show that after controlling for microcaps lottery-related anomalies are insignificant. We find that lottery strategies persistently crash in January, delivering negative returns, but earn significant positive returns in non-January months even after controlling for microcaps. This finding suggests that unconditional lottery-related anomalies are insignificant, but lottery-related anomalies conditional on January seasonality are in fact strong and robust. The January crash of lottery strategies is driven by the seasonality of investor preference for speculative stocks: stronger demand of lottery-type stocks in early January engenders price run-ups of such stocks. The January seasonality of lottery-related anomalies is more pronounced among stocks more actively traded by retail investors and those with greater limits-to-arbitrage. We further provide international evidence for significant lottery-related anomalies in non-January months as out-of-sample investigation.

Keywords: Lottery; Gambling preference; Speculative stocks; January seasonality