股市投资者赌博行为收益形成机理研究——基于情绪的错误定价分析

The Formation Mechanism of Gambling Behavior Return of Stock Market Investors:Error Pricing Analysis based on Emotion

股票市场一直是我国防范系统性金融风险的重点领域,而投资者赌博行为正是导致和加剧我国股市波动和资产价格泡沫的重要因素。基于投资者情绪的错误定价视角,本文从理论和实证两个层面来分析投资者赌博行为及其表现出的负异常收益——“赌博型收益”的成因,即提供一个行为金融解释。研究发现:赌博型收益源于投资者行为偏差导致的股票价格被高估;高情绪期之后,股票被错误定价的程度更明显,赌博型收益在高情绪期之后也更加明显;投资者的非理性程度的变化也会影响赌博型股票被错误定价的程度,进而影响赌博型收益。

The stock market has always been a key area to prevent systemic financial risks in China,and the gambling behavior of investors is an important factor leading to and exacerbating China′s stock market volatility and asset price bubbles.Based on the wrong pricing perspective of investor sentiment,this paper analyses the causes of investors′gambling behavior and negative abnormal returns,namely“gambling returns”,from both theoretical and empirical perspectives,providing a behavioral financial explanation.The research finds that the gambling return is due to the overvaluation of stock price caused by investors′behavior deviation;after the high emotional period,the degree of stock mispricing is more obvious,and the gambling return is more obvious after the high emotional period;the change of investors′irrational degree will also affect the degree of mispricing of gambling stock,then affecting gambling income.