Abstract: From the perspective of fund's information mining behavior, this paper analyzes the reasons behind the fund holding lottery stocks using the stocks holdings data of funds. The empirical results show that fund shareholding ratio of lottery-like stocks increases significantly the stock price synchronicity. Funds pay more attention to intangible information in investing the lottery-like stocks, but focus more on tangible information when the market is depressed. Therefore, it can be seen that the fund's holding lottery-like stocks are the result of information mining, not a pure lottery preference. The research of this paper explains to some extent the motivation of the fund to hold lottery-like stocks, and provides a reference for the supervisory authority to better understand the fund's ability to choose stocks and investment behavior.

Key words: securities investment fund, lottery-like stock, stock price synchronicity, fundamental information

摘要： 本文从信息挖掘入手,利用基金持股数据分析基金持有博彩型股票背后的原因。结果表明:基金博彩型股票持股显著提高了股价同步性,基金博彩型股票交易在整体上关注非基本面信息,仅在市场情绪低落时关注基本面信息,表明基金博彩型股票交易中存在信息交易,并不是纯粹的博彩偏好的结果。本文的研究一定程度上解释了基金持有博彩型股票的动机,并为监管当局深入了解基金择股能力和投资行为提供了参考依据。

关键词: 证券投资基金, 博彩型股票, 股价同步性, 基本面信息