投资者的博彩行为研究——基于盈亏状态和投资者情绪的视角
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摘要
本文以中国股市2000年1月至2017年9月的数据为样本,实证研究盈亏状态和投资者情绪对股票市场博彩行为的影响。本文首先构造股票博彩指数和资本利得量以及二者的交互项,然后使用Fama-MacBeth回归并分析该交互项系数估计量的统计显著性和经济显著性,结果发现,尽管我国股市投资者总体上表现出博彩偏好,但当投资者处于盈利状态时,投资者会厌恶风险,不愿意冒险买入或继续持有"博彩型"股。本文还构造了投资者情绪指数,并以中位数为界将全样本分为投资者情绪高涨期和低落期,然后通过分组研究发现,投资者情绪对博彩行为有直接和间接两种影响:较之于情绪低落期,投资者在情绪高涨期会更加偏好投资"博彩型"股票;此外,情绪还会通过影响投资者的风险态度进而间接影响投资者对"博彩型"股票的投资决策。
The propensity to gamble is deep-rooted in the human psyche.More and more evidences show that gambling and speculation have a significant effect on the stock market.Why do investors prefer lottery-type stocks with high idiosyncratic volatility,high idiosyncratic skewness and low prices?Researchers attribute the gambling preference to religious beliefs and preference for skewness.However,fewer researchers have paid attention to the factors that affect the gambling behavior.Investing in lottery-type stocks is a kind of speculative trading with high risk.Based on the prospect theory,investors tend to be risk-averse when facing prior capital gains.Besides,pessimistic sentiment may make investors reluctant to speculate.Whether profit/loss condition and investor sentiment have an impact on the investors' gambling behavior is investigated by utilizing the regressions and the data from the Chinese stock market from January 2000 to September 2017.The capital gains overhang that measures the capital gains or losses of individual stocks and gambling index for each stock are constructed respectively.And then,the Fama-MacBeth regressions are employed to investigate the relationships between profit/loss condition and investors' gambling behavior.It is found that the interaction between capital gains overhang and gambling index positively predicts the future returns.It is also found that investors are unwilling to hold lottery-type stocks when facing prior capital gains.In addition,investor sentiment index is constructed and the total sample is separated into two subsamples based on the median of investor sentiment index.It is found that investors exhibit stronger preference for lottery-type stocks during the optimistic sentiment periods.Furthermore,investor sentiment could affect the gambling behavior through affecting the investors' risk attitude.This paper provides the important implications on portfolio section,asset pricing and risk management for both investors and regulators.
The propensity to gamble is deep-rooted in the human psyche.More and more evidences show that gambling and speculation have a significant effect on the stock market.Why do investors prefer lottery-type stocks with high idiosyncratic volatility,high idiosyncratic skewness and low prices?Researchers attribute the gambling preference to religious beliefs and preference for skewness.However,fewer researchers have paid attention to the factors that affect the gambling behavior.Investing in lottery-type stocks is a kind of speculative trading with high risk.Based on the prospect theory,investors tend to be risk-averse when facing prior capital gains.Besides,pessimistic sentiment may make investors reluctant to speculate.Whether profit/loss condition and investor sentiment have an impact on the investors' gambling behavior is investigated by utilizing the regressions and the data from the Chinese stock market from January 2000 to September 2017.The capital gains overhang that measures the capital gains or losses of individual stocks and gambling index for each stock are constructed respectively.And then,the Fama-MacBeth regressions are employed to investigate the relationships between profit/loss condition and investors' gambling behavior.It is found that the interaction between capital gains overhang and gambling index positively predicts the future returns.It is also found that investors are unwilling to hold lottery-type stocks when facing prior capital gains.In addition,investor sentiment index is constructed and the total sample is separated into two subsamples based on the median of investor sentiment index.It is found that investors exhibit stronger preference for lottery-type stocks during the optimistic sentiment periods.Furthermore,investor sentiment could affect the gambling behavior through affecting the investors' risk attitude.This paper provides the important implications on portfolio section,asset pricing and risk management for both investors and regulators.
引文
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[2]Bali T,Cakici N,Whitelaw R.Maxing out:Stocks as lotteries and the cross-section of expected returns[J].Journal of Financial Economics,2011,99(2):427-446.
[3]郑振龙,孙清泉.彩票类股票交易行为分析:来自中国A股市场的证据[J].经济研究,2013(5):128-140.
[4]Harvey C R,Siddique A.Conditional skewness in asset pricing tests[J].Journal of Finance,2000,55(3):1263-1295.
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[7]Tversky A,Kahneman D.Advances in prospect theory:cumulative representation of uncertainty[J].Journal of Risk and Uncertainty,1992,5(4):297-323.
[8]刘维奇,邢红卫,张信东.投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象[J].中国管理科学,2014,22(8):10-20.
[9]Kumar A,Page J,Spalt O.Religious beliefs,gambling attitudes,and financial market outcomes[J].Journal of Financial Economics,2011,102(3):671-708.
[10]Kumar A,Page J,Spalt O.Gambling and comovement[J].Journal of Financial and Quantitative Analysis,2016,51(1):85-111.
[11]Gao Xiaohui,Lin Tse-Chun.Do individual investors treat trading as a fun and exciting gambling activity?Evidence from repeated natural experiments[J].Review of Financial Studies,2015,28(7):2128-2166.
[12]Dorn A,Dorn D,Sengmueller P.Trading as gambling[J].Management Science,2015,61(10):2376-2393.
[13]孔东民,代昀昊,李捷瑜.知情交易与中国股市博彩溢价[J].金融评论,2010(2):61-72.
[14]李培鑫,刘悦,王宝链.中国股票市场的赌博行为研究[J].财贸经济,2014(3):68-79.
[15]廖理,梁昱,张伟强.谁在中国股票市场中“博彩”?——基于个人投资者交易数据的实证研究[J].清华大学学报,2016,56(6):677-684.
[16]Statman M.Lottery players/stock traders[J].Financial Analysts Journal,2002,58(1):14-21.
[17]刘渝琳,郑效晨.基于通货膨胀和风险偏好视角的资产配置研究[J].中国管理科学,2016,24(5):46-53.
[18]Barberis N,Huang M,Santos T.Prospect theory and asset prices[J].The Quarterly Journal of Economics,2001,116(1):1-51.
[19]陆静,周媛.投资者情绪对股价的影响——基于AH股交叉上市股票的实证分析[J].中国管理科学,2015,23(11):21-28.
[20]陈其安,雷小燕.货币政策、投资者情绪与中国股票市场波动性:理论与实证[J].中国管理科学,2017,25(11):1-11.
[21]Baker M,Wurgler J.Investor sentiment and the crosssection returns[J].Journal of Finance,2006,61(4):1645-1680.
[22]Grinblatt M,Han B.Prospect theory,mental accounting,and momentum[J].Journal of Financial Economics,2005,78(2):311-339.
[23]Ang A,Hodrick R J,Xing Yuhang,Zhang Xiaoyan.The cross-section of volatility and expected returns[J].Journal of Finance,2006,61(1):259-299.
[24]文凤华,肖金利,黄创霞,等.投资者情绪特征对股票价格行为的影响研究[J].管理科学学报,2014,17(3):60-69.
[25]Amihud Y.Illiquidity and stock returns:cross-section and time-series effects[J].Journal of Financial Markets,2002,5(1):31-56.
[26]Zhang F.Information uncertainty and stock returns[J].Journal of Finance,2006,61(1):105-137.
[27]Fama E,MacBeth J.Risk return and equilibrium:empirical tests[J].Journal of Political Economy,1973,81(3):607-636.
[2]Bali T,Cakici N,Whitelaw R.Maxing out:Stocks as lotteries and the cross-section of expected returns[J].Journal of Financial Economics,2011,99(2):427-446.
[3]郑振龙,孙清泉.彩票类股票交易行为分析:来自中国A股市场的证据[J].经济研究,2013(5):128-140.
[4]Harvey C R,Siddique A.Conditional skewness in asset pricing tests[J].Journal of Finance,2000,55(3):1263-1295.
[5]Mitton T,Vorkink K.Equilibrium undeerdiversification and the preference for skewness[J].Review of Financial Studies,2007,20(4):1255-1288.
[6]Barberis N,Huang H M.Stocks as lotteries:The implications of probability weighting for security prices[J].American Economic Review,2008,98(5):2066-2100.
[7]Tversky A,Kahneman D.Advances in prospect theory:cumulative representation of uncertainty[J].Journal of Risk and Uncertainty,1992,5(4):297-323.
[8]刘维奇,邢红卫,张信东.投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象[J].中国管理科学,2014,22(8):10-20.
[9]Kumar A,Page J,Spalt O.Religious beliefs,gambling attitudes,and financial market outcomes[J].Journal of Financial Economics,2011,102(3):671-708.
[10]Kumar A,Page J,Spalt O.Gambling and comovement[J].Journal of Financial and Quantitative Analysis,2016,51(1):85-111.
[11]Gao Xiaohui,Lin Tse-Chun.Do individual investors treat trading as a fun and exciting gambling activity?Evidence from repeated natural experiments[J].Review of Financial Studies,2015,28(7):2128-2166.
[12]Dorn A,Dorn D,Sengmueller P.Trading as gambling[J].Management Science,2015,61(10):2376-2393.
[13]孔东民,代昀昊,李捷瑜.知情交易与中国股市博彩溢价[J].金融评论,2010(2):61-72.
[14]李培鑫,刘悦,王宝链.中国股票市场的赌博行为研究[J].财贸经济,2014(3):68-79.
[15]廖理,梁昱,张伟强.谁在中国股票市场中“博彩”?——基于个人投资者交易数据的实证研究[J].清华大学学报,2016,56(6):677-684.
[16]Statman M.Lottery players/stock traders[J].Financial Analysts Journal,2002,58(1):14-21.
[17]刘渝琳,郑效晨.基于通货膨胀和风险偏好视角的资产配置研究[J].中国管理科学,2016,24(5):46-53.
[18]Barberis N,Huang M,Santos T.Prospect theory and asset prices[J].The Quarterly Journal of Economics,2001,116(1):1-51.
[19]陆静,周媛.投资者情绪对股价的影响——基于AH股交叉上市股票的实证分析[J].中国管理科学,2015,23(11):21-28.
[20]陈其安,雷小燕.货币政策、投资者情绪与中国股票市场波动性:理论与实证[J].中国管理科学,2017,25(11):1-11.
[21]Baker M,Wurgler J.Investor sentiment and the crosssection returns[J].Journal of Finance,2006,61(4):1645-1680.
[22]Grinblatt M,Han B.Prospect theory,mental accounting,and momentum[J].Journal of Financial Economics,2005,78(2):311-339.
[23]Ang A,Hodrick R J,Xing Yuhang,Zhang Xiaoyan.The cross-section of volatility and expected returns[J].Journal of Finance,2006,61(1):259-299.
[24]文凤华,肖金利,黄创霞,等.投资者情绪特征对股票价格行为的影响研究[J].管理科学学报,2014,17(3):60-69.
[25]Amihud Y.Illiquidity and stock returns:cross-section and time-series effects[J].Journal of Financial Markets,2002,5(1):31-56.
[26]Zhang F.Information uncertainty and stock returns[J].Journal of Finance,2006,61(1):105-137.
[27]Fama E,MacBeth J.Risk return and equilibrium:empirical tests[J].Journal of Political Economy,1973,81(3):607-636.
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