博彩信号与风险选择:基于股票被ST的准自然实验证据

Lottery Signals and Risk Selection: Quasi-Natural Experiment Based on Stocks with Special Treatment Warning

行为金融学理论中投资者存在风险选择,尤其是根据Friedman的博彩理论和Michael的信号理论,投资者会基于博彩偏好改变风险选择。以近200万个样本中股票被ST的事实作为信号观察点,分析个人投资者在博彩信号出现时的风险选择变化。研究发现,股票被ST(Special Treatment,简称“ST”)、发出博彩信号时,个人投资者的风险选择会发生变化,更倾向于持有博彩型资产。与股价较高的ST股票相比,价格较低的ST股票因为博彩信号更强烈,个人的风险选择越易发生变化,持有博彩型资产的比例越高,但增长速度逐渐变缓。之所以出现这种变化,主要是由贪婪暴富欲望和暴跌风险恐惧造成。作为博彩信号的最大日收益率激发贪婪暴富欲望,而股价崩盘风险引起暴跌风险恐惧,二者作为机制影响投资者的风险选择行为。基于此,为减小金融市场风险,应对博彩型资产建立投资者准入门槛,加强对投资者贪婪与恐惧预期的管理。

According to behavioral finance theory, investors have choices regarding risks, especially according to Friedman’s lottery theory and Michael’s signal theory, investors will change their risk choices based on lottery preferences.Using the nearly 2 million samples of stocks with the special treatment(ST) warning as signals, this study analyzed changes in the risk selection of individual investors when lottery signals appear.This results indicated that when stocks receive the ST warning and lottery signals are sent, individual investors’ risk choices change, and they are more inclined to hold lottery-type assets.Compared to ST stocks with higher prices, ST stocks with lower prices had strong lottery signals, which resulted in more changes in personal risk choices, thereby increasing the proportion of lottery-like assets held but gradually dampening the growth rate.This change was mainly caused by the greed desire to get rich, and the fear of plunging risks.The maximum daily yield as a lottery signal stimulates greed and the desire to get rich, while the risk of stock price collapse causes a fear of plunging risks;both serve as mechanisms to influence investors’ risk selection behavior.Based on the above, it is recommended that policymakers establish barriers to entry for lottery-like assets to reduce financial market risk and strengthen the management of investors’ greed and fear expectations.