小股票具有博彩效应吗?

Do Small-cap Stocks Have Gambling Effects?

基于1997-2017年沪深两市A股数据,采用核密度估计方法刻画投资者“以小博大”的博彩效应,使用投资组合分析及Fama-Macbeth回归方法对中国股票市场博彩效应的存在性及来源进行了实证分析。研究表明,中国股票市场的博彩效应主要来源于小盘股,小股票的博彩效应十分显著,当期博彩暴露高的小股票未来的预期收益为负。通过对小股票博彩效应生成机制的探讨,发现散户的非理性行为与市场卖空限制是导致小股票博彩效应的主要原因。结合资本市场投资风格转变的情况,在大盘股有效时,小股票的博彩效应显著降低。监管部门要注重稳定市场,鼓励发展机构投资者,不断完善开放融资融券业务,促进资本市场价格发现与市场稳定。同时,还应加强对散户投资者的教育引导,培养其价值投资观念。

Based on a sample of A-shares in Shanghai and Shenzhen stock markets from 1997 to 2017, this study applies the method of nuclear density estimation to describe the gambling effect of investors'"have small probability to get huge returns", and uses portfolio analysis and Fama-Macbeth regression method to empirically analyze the existence and source of gambling effect of Chinese stock market. The results show that the gambling effect of China's stock market mainly comes from small-sized stocks, and the gambling effect of small stocks is very significant while the expected return of small stocks with high exposure to gambling is negative. The discussion of the mechanism of small stocks' gambling effect finds that the irrational behavior of retail investors and the short selling restriction of the market are the reasons for the small stocks' gambling effect. Combined with the change of capital market's investment style, it is found that the small-cap stock's gambling effect is significantly reduced during the period when large-sized stock is effective. Based on this, the regulatory authorities should focus on stabilizing the market, encourage the development of institutional investors, constantly improve and open margin trading, and promote price discovery and market stability in stock markets. At the same time, it is necessary to strengthen the education guidance for retail investors and cultivate their value investment concepts.