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

摘要

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.%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.