彩票类股票交易行为分析:来自中国A股市场的证据

Lottery-Like Stock Trading Behavior Analysis: Evidence from Chinese A-share Stock Market

国人赌性较强,这种博彩偏好是否会反映在股票市场是本文的研究主题。限于调查数据和交易数据的可获得性,本文使用低股价、高的历史日收益率和高换手率识别股票的彩票特性,并用Kumar(2009)提出的低股价、高特质偏度和高特质波动率检验上述指标的合理性。结果发现,我国股票市场存在明显的彩票偏好,但彩票偏好并无明显的行业聚集和个股持续现象。除了规模效应之外,彩票偏好并不为公司特征所解释,而与博彩行为一致,受到宏观经济状况的显著影响。同时,由于彩票类股票被彩票偏好投资者过度追逐,其年收益率至少低于其他股票5%。

The desire to gamble is deep-rooted in Chinese psyche, and whether the lottery preference is reflected on the stock market is the topic of this paper. Subject to the availability of survey data and transaction data, we use low price,high historical return and high turnover rate to identify the attributes of lottery-like stock, and check the rationality of the grouping index based on the low price, high idiosyncratic skewness and high idiosyncratic volatility adapted by Kumar （2009）. There exists obvious lottery preference on Chinese stock market, but no lottery preference industry concentration and individual stock being consistently classified into lottery-like group phenomenon. Lottery preference cannot be explained by firm characteristics, while in accordance with gambling, macro-economic condition indeed affects lottery-like stock preference. At the meanwhile, due to the excessive chase for lottery-like stock by investors with lottery preference, lottery- like stocks earn at least 5% return rate lower than other stocks.