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

Abstract

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

CLC Number:

F830.91

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

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