谁在市场中赌博？基金博彩行为研究

doi:10.16381/j.cnki.issn1003-207x.2019.1299

摘要/Abstract

摘要： 本文研究了A股市场共同基金对彩票型股票的偏好。以2003-2018年的股票型基金和混合型基金为研究对象，本文发现，A股市场共同基金股票组合中平均持有约3.49%的彩票型股票，年轻、从业经验短、学历低的基金经理持有的彩票型股票更多；收益率越低、资金净流入越少、业绩排名下降幅度越大，即业绩压力越大的基金持有的彩票型股票越多。基金对彩票型股票的偏好在年末、投资者情绪更乐观时、预期市场收益偏度更高时更强。基金持有彩票型股票损害而非改善其业绩，且持有彩票型股票的基金在其他类型股票上的投资表现也相对较差，表明基金在彩票型股票上并无选股能力，更多因为博彩心理而持有此类股票，是否持有彩票型股票可作为基金整体投资能力的判别指标。

关键词: 彩票型股票；共同基金；基金经理特征；投资者情绪；偏度

Abstract: Recent studies have shown that investors prefer stocks with lottery features (lottery preferences hereafter), which have relatively low expected returns but a small chance of huge pay-offs. However, most studies in this field focus on individual investors, assuming that institutional investors are rational and professional market participants and do not gamble in the market.

Key words: lottery-like stocks; mutual funds; fund manager characteristics; investor sentiment; skewness

中图分类号:

F830.91

向诚, 杨俊. 谁在市场中赌博？基金博彩行为研究[J]. 中国管理科学, 2021, 29(11): 224-236.

XIANG Cheng, YANG Jun. Who Gambles in the Market? A Study on Mutual Funds’ Preferences for Lottery-like Stocks[J]. Chinese Journal of Management Science, 2021, 29(11): 224-236.

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