博彩型股票与投资者的博彩性偏好——基于中国股票市场数据的实证研究

doi:10.12005/orms.2017.0040

运筹与管理 ›› 2017, Vol. 26 ›› Issue (2): 117-126.DOI: 10.12005/orms.2017.0040

博彩型股票与投资者的博彩性偏好——基于中国股票市场数据的实证研究

梁昱^1,2, 张伟强³

1.中国华融资产管理股份有限公司博士后科研工作站,北京 100033;
2.复旦大学经济学院,上海 200433;
3.清华大学五道口金融学院,北京 100083

收稿日期:2015-05-17 出版日期:2017-02-25
作者简介:梁昱(1986-),男,广西南宁人,博士后,研究方向:行为金融、金融市场、国际投资等; 张伟强(1974-),男,河南新郑人,博士后,研究方向:消费金融等。
基金资助:
国家自然科学基金资助项目(71232003,71271214,71573147);高等学校博士学科点专项科研基金资助(20120002110085);中国博士后科学基金资助(2015M570066)

Lottery-type Stocks and Investor’s Gambling Preference in Chinese Stock Market

LIANG Yu^1,2, ZHANG Wei-qiang³

1.Postdoctoral Program, China Huarong AMC, Beijing 100033, China;
2.School of Economics, Fudan University, Shanghai 200433, China;
3.PBC School of Finance, Tsinghua University, Beijing 100083, China

Received:2015-05-17 Online:2017-02-25

摘要/Abstract

摘要： 在新兴资本市场中,股票价格容易受到投资者投资偏好的影响。其中,投资者的博彩性投资偏好是本文研究的重点。本文基于中国股票市场实际情况,借鉴并改进了过往文献对于博彩型股票的分类方法,将高个体偏度、高个体波动率、低价格和高超额换手率的股票定义为博彩型股票,并发现个人投资者过度配置了博彩型股票,存在明显的博彩性投资偏好。本文验证了在中国股票市场中博彩型股票未来收益表现较差的结论,说明投资者偏好博彩型股票的投资行为存在非理性偏误。同时,相对于主板市场而言,在投机性相对较强的中小板和创业板市场中的博彩型股票未来收益表现更差;无论市场在上升或下降环境中,博彩型股票的未来负超额收益一直稳定存在。因此,本文认为应在中国股票市场中加强投资者教育,以降低个人投资者的非理性行为偏差,维护股票市场的健康稳定发展。

关键词: 金融学, 博彩型股票, 超额收益, 投资者教育

Abstract: In the emerging capital market, stock prices are sensitive to investors' investment preference. As one of the major investment preferences, gambling preference will be the topic of this paper. Based on the practical situation of Chinese stock market, this article improves the past classification method and defines the lottery-type stocks as stocks with high idiosyncratic skewness, high idiosyncratic volatility, low price and high abnormal turnover rate. Our empirical test shows that individual investors over-weight lottery-type stocks in their investment portfolios, and the lottery-type stocks earn significantly negative abnormal return in the future. It means that the individual investor’s gambling preference is irrational. Compared to the case in main board market, the lottery-type stocks’ performances are poorer in the small and medium-sized board market and growth enterprises market. Finally, this article finds that, after the financial crisis, the negative abnormal returns of the lottery-type stocks still exist.

Key words: finance, lottery-type stocks, abnormal return, investor education

中图分类号:

F832.5

梁昱, 张伟强. 博彩型股票与投资者的博彩性偏好——基于中国股票市场数据的实证研究[J]. 运筹与管理, 2017, 26(2): 117-126.

LIANG Yu, ZHANG Wei-qiang. Lottery-type Stocks and Investor’s Gambling Preference in Chinese Stock Market[J]. Operations Research and Management Science, 2017, 26(2): 117-126.

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博彩型股票与投资者的博彩性偏好——基于中国股票市场数据的实证研究

Lottery-type Stocks and Investor’s Gambling Preference in Chinese Stock Market

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