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

doi:10.16381/j.cnki.issn1003-207x.2019.02.003

中国管理科学 ›› 2019, Vol. 27 ›› Issue (2): 19-30.doi: 10.16381/j.cnki.issn1003-207x.2019.02.003

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

陈文博¹, 陈浪南¹, 王升泉²

1. 中山大学岭南(大学)学院, 广东广州 510275;
2. 中山大学国际金融学院, 广东珠海 519082

收稿日期:2018-02-06 修回日期:2018-04-24 出版日期:2019-02-20 发布日期:2019-04-24
通讯作者: 陈浪南(1958-),男(汉族),福建福州人,中山大学岭南(大学)学院教授,博士生导师,研究方向:金融经济学、货币经济学,E-mail:lnscln@mail.sysu.edu.cn E-mail:lnscln@mail.sysu.edu.cn
基金资助:
教育部人文社会科学研究规划基金资助项目（17YJA790011）；广东省自然科学基金资助项目（2017A030311038）；广东省社科规划课题项目（GD17TW01-3）

Investors' Gambling Behavior——A Perspective from Profit/Loss Condition and Investor Sentiment

CHEN Wen-bo¹, CHEN Lang-nan¹, WANG Shen-quan²

1. Lingnan(University) College, Sun Yat-sen University, Guangzhou 510275, China;
2. Inernational School of Business & Finance, Sun Yat-sen University, Zhuhai 519082, China

Received:2018-02-06 Revised:2018-04-24 Online:2019-02-20 Published:2019-04-24

摘要/Abstract

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。

关键词: 博彩行为, 盈亏状态, 投资者情绪, 资本利得量, 前景理论

Abstract: 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.

Key words: gambling behavior, profit/loss condition, investor sentiment, capital gains overhang, prospect theory

中图分类号:

F830.91

陈文博, 陈浪南, 王升泉. 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[J]. 中国管理科学, 2019, 27(2): 19-30.

CHEN Wen-bo, CHEN Lang-nan, WANG Shen-quan. Investors' Gambling Behavior——A Perspective from Profit/Loss Condition and Investor Sentiment[J]. Chinese Journal of Management Science, 2019, 27(2): 19-30.

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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

Investors' Gambling Behavior——A Perspective from Profit/Loss Condition and Investor Sentiment

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