股市投资者赌博行为研究综述
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摘要
近年来,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。基于国内外文献的研究性质,依照识别研究—特征研究—成因研究的逻辑顺序,系统地梳理、评述了投资者赌博行为及其对资产定价影响的相关研究。在此基础上,指出行为金融学的研究优势,同时提出将投资者个人层面和群体层面非理性因素相结合的研究框架,为未来关于投资者赌博行为与资产定价的相关研究提供思路与启发。
引文
[1]郑振龙,孙清泉.彩票类股票交易行为分析:来自中国A股市场的证据[J].经济研究,2013(5):128-140.
[2]Kumar A.Who Gambles in the Stock Market?[J].Journal of Finance,2009,64(4):1889-1933.
[3]Bali T G,Cakiti N,Whitelaw R F.Maxing out:Stocks as Lotteries and the Cross-Section of Expected Returns[J].Journal of Financial Economics,2011,99(2):427-446.
[4]江曙霞,陈青.赌博特征股票的收益预测及解释[J].财贸研究,2013,24(3):99-107.
[5]崔惠颖,王志强.彩票型股票的识别分析:来自中国股票市场的经验证据[J].商业经济与管理,2016(5):86-96.
[6]Brunnermeier M K,Parker J A.Optimal Expectations[J].American Economic Review,2005,95(4):1092-1118.
[7]Brunnermeier M K,Gollier C,Parker J A.Optimal Beliefs,Asset Prices,and the Preference for Skewed Returns[J].American Economic Review,2007,97(2):159-165.
[8]Mitton T,Vorkink K.Equilibrium Underdiversification and the Preference for Skewness[J].Review of Financial Studies,2007,20(4):1255-1288.
[9]Barberis N,Huang M.Stocks As Lotteries:The Implication of Probability Weighting for Security Prices8[J].American Economic Review,2007,98(5):2066-2100.
[10]Boyer B,Vorkink K.Expected Idiosyncratic Skewness[J].Review of Financial Studies,2010,23(1):169-202.
[11]崔惠颖.彩票型股票的市场特征分析:来自中国股市的经验证据[J].东北财经大学学报,2016(3):56-64.
[12]Friedman M,Savage L J.The Utility Analysis of Choices Involving Risk[J].Journal of Political Economy,1948,56(4):279-279.
[13]Markowitz H.Portfolio Selection[J].Journal of Finance,1952a,7(1):77-91.
[14]Golec J,Tamarkin M.Bettors Love Skewness,Not Risk,at the Horse Track[J].Social Science Electronic Publishing,1998,106(1):205-225.
[15]Smith D R.Conditional Coskewness and Asset Pricing[J].Journal of Empirical Finance,2007,14(1):91-119.
[16]Snowberg E,Wolfers J.Explaining the Favorite-Long Shot Bias:Is it Risk-Love or Misperceptions?[J].Journal of Political Economy,2010,118(4):723-746.
[17]Zhong A,Gray P.The MAX effect:An Exploration of Risk and Mispricing Explanations[J].Journal of Banking&Finance,2016,65:76-90.
[18]徐小君.公司特质风险与股票收益:中国股市投机行为研究[J].经济管理,2010(12):127-136.
[19]Fong W M,Toh B.Investor Sentiment and the MAX Effect[J].Journal of Banking&Finance,2014,46(3):190-201.
[20]Byun S J,Kim D H.Gambling Preference and Individual Equity Option Returns[J].Journal of Financial Economics,2016,122(1):155-174.
[21]Kumar A,Page J K,Spalt O G.Religious Beliefs,Gambling Attitudes,and Financial Market Outcomes[J].Journal of Financial Economics,2011,102(3):671-708.
[22]Bing H,Kumar A.Speculative Retail Trading and Asset Prices[J].Journal of Financial&Quantitative Analysis,2013,48(2):377-404.
[23]Kumar A,Page J K,Spalt O G.Gambling and Comovement[J].Journal of Financial and Quantitative Analysis,2016,51(1):85-111.
[24]Blau B M.Gambling Preferences,Options2Markets,and Volatility[J].Journal of Financial&Quantitative Analysis,2016,51(2):1-26.
[25]李培馨,刘悦,王宝链.中国股票市场的赌博行为研究[J].财贸经济,2014(3):68-79.
[26]孔高文,刘莎莎,孔东民.赌博偏好是否影响了精明投资者绩效?[J].投资研究,2014(10):87-103.
[27]胡锋,李媛媛.机构投资者赌博吗?——来自机构投资者持股偏好和基金业绩的证据[J].云南财经大学学报,2015(5):99-110.
[28]刘圣尧,李怡宗,杨云红.中国股市的崩盘系统性风险与投资者行为偏好[J].金融研究,2016(2):55-70.
[29]廖理,梁昱,张伟强.谁在中国股票市场中“赌博”?——基于个人投资者交易数据的实证研究[J].清华大学学报(自然科学版),2016(6):677-684.
[30]梁昱,张伟强.彩票型股票与投资者的赌博性偏好:基于中国股票市场数据的实证研究[J].运筹与管理,2017,26(2):117-126.
[31]Kumar A,Page J K.Deviations From Norms and Informed Trading[J].Journal of Financial&Quantitative Analysis,2014,49(4):1005-1037.
[32]Annaert J,Ceuster M D,Verstegen K.Are Extreme Returns Priced in the Stock Market?European Evidence[J].Journal of Banking&Finance,2013,37(9):3401-3411.
[33]Walkshusl C.The MAX Effect:European Evidence[J].Journal of Banking&Finance,2014,42(42):1-10.
[34]Nartea G V,Wu J,Liu H T.Extreme Returns in Emerging Stock Markets:Evidence of A MAX Effect in South Korea[J].Applied Financial Economics,2014,24(6):425-435.
[35]Nartea G V,Kong D,Wu J.Do Extreme Returns Matter in Emerging Markets?Evidence from the Chinese Stock Market[J].Journal of Banking&Finance,2017,76(3):189-197.
[36]Gong P,Dai J.Herding on Lottery-type Stocks:Evidence from the Chinese Stock Market[J].Applied Economics Letters,2018,25(10):659-662.
[37]胡聪慧,张勇,高明.价格时滞、投机性需求与股票收益[J].管理世界,2016(1):44-53.
[38]刘圣尧,李怡宗.股票赌博特征与市场风险异象[J].投资研究,2016(2):4-18.
[39]林煜恩,郑玉敏,邵文霞,池祥萱.赌博行为对公司盈余管理的影响:中国实证[J].金融评论,2015(4):78-91.
[40]汤伟,徐立恒.股票还是彩票:赌博偏好与IPO之谜[J].投资研究,2016(4):37-56.
[41]Green T C,Hwang B H.Initial Public Offerings as Lotteries:Skewness Preference and First-Day Returns[J].Management Science,2012,58(2):432-444.
[42]Doran J S,Jiang D,Peterson D R.Gambling Preference and the New Year Effect of Assets with Lottery Features[J].Review of Finance,2011,16(3):685-731.
[43]Yun M,Pantzalis C.Monthly Cyclicality in Retail Investors’liquidity and Lottery-type Stocks at the Turn of the Month[J].Journal of Banking&Finance,2018,88(3):176-191.
[44]Chen M H,Chen S J,Yen M F,et al.Lottery Premium in the Taiwan Stock Market[J].Asia Pacific Management Review,2008,13:545-556.
[45]Markowitz H.The Utility of Wealth[J].Journal of Political Economy,1952,60(2):151-151.
[46]Arditti F D.Risk and the Required Return on Equity[J].Journal of Finance,1967,22(1):19-36.
[47]Kraus A,Litzenberger R H.Skewness Preference and Valuation of Risk Assets[J].Journal of Finance,1976,31(4):1085-1100.
[48]Harvey C R,Siddique A.Conditional Skewness in Asset Pricing Tests[J].Journal of Finance,2000,55(3):1263-1295.
[49]Hwang S,Satchell S E.Modelling Emerging Market Risk Premia using Higher Moments[J].International Journal of Finance&Economics,1999,4(4):271-296.
[50]Eraker B,Ready M J.Do Investors Overpay for Stocks with Lottery-Like Payoffs?An Examination of the Returns on OTC Stocks[J].Journal of Financial Economics,2014,115(3):86-504.
[51]Baker M,Wurgler J.Investor Sentiment and the Cross-Section of Stock Returns[J].Journal of Finance,2006,61(4):1645-1680.
[52]Stambaugh R F,Jianfeng Y U,Yuan Y U.Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle[J].Journal of Finance,2012,70(5):1903-1948.
(1)传统视角下的“偏度偏好假说”认为非系统性偏度是导致赌博行为的关键变量,第五部分综述的行为金融视角下的“偏度偏好假说”则关注特质偏度。
[2]Kumar A.Who Gambles in the Stock Market?[J].Journal of Finance,2009,64(4):1889-1933.
[3]Bali T G,Cakiti N,Whitelaw R F.Maxing out:Stocks as Lotteries and the Cross-Section of Expected Returns[J].Journal of Financial Economics,2011,99(2):427-446.
[4]江曙霞,陈青.赌博特征股票的收益预测及解释[J].财贸研究,2013,24(3):99-107.
[5]崔惠颖,王志强.彩票型股票的识别分析:来自中国股票市场的经验证据[J].商业经济与管理,2016(5):86-96.
[6]Brunnermeier M K,Parker J A.Optimal Expectations[J].American Economic Review,2005,95(4):1092-1118.
[7]Brunnermeier M K,Gollier C,Parker J A.Optimal Beliefs,Asset Prices,and the Preference for Skewed Returns[J].American Economic Review,2007,97(2):159-165.
[8]Mitton T,Vorkink K.Equilibrium Underdiversification and the Preference for Skewness[J].Review of Financial Studies,2007,20(4):1255-1288.
[9]Barberis N,Huang M.Stocks As Lotteries:The Implication of Probability Weighting for Security Prices8[J].American Economic Review,2007,98(5):2066-2100.
[10]Boyer B,Vorkink K.Expected Idiosyncratic Skewness[J].Review of Financial Studies,2010,23(1):169-202.
[11]崔惠颖.彩票型股票的市场特征分析:来自中国股市的经验证据[J].东北财经大学学报,2016(3):56-64.
[12]Friedman M,Savage L J.The Utility Analysis of Choices Involving Risk[J].Journal of Political Economy,1948,56(4):279-279.
[13]Markowitz H.Portfolio Selection[J].Journal of Finance,1952a,7(1):77-91.
[14]Golec J,Tamarkin M.Bettors Love Skewness,Not Risk,at the Horse Track[J].Social Science Electronic Publishing,1998,106(1):205-225.
[15]Smith D R.Conditional Coskewness and Asset Pricing[J].Journal of Empirical Finance,2007,14(1):91-119.
[16]Snowberg E,Wolfers J.Explaining the Favorite-Long Shot Bias:Is it Risk-Love or Misperceptions?[J].Journal of Political Economy,2010,118(4):723-746.
[17]Zhong A,Gray P.The MAX effect:An Exploration of Risk and Mispricing Explanations[J].Journal of Banking&Finance,2016,65:76-90.
[18]徐小君.公司特质风险与股票收益:中国股市投机行为研究[J].经济管理,2010(12):127-136.
[19]Fong W M,Toh B.Investor Sentiment and the MAX Effect[J].Journal of Banking&Finance,2014,46(3):190-201.
[20]Byun S J,Kim D H.Gambling Preference and Individual Equity Option Returns[J].Journal of Financial Economics,2016,122(1):155-174.
[21]Kumar A,Page J K,Spalt O G.Religious Beliefs,Gambling Attitudes,and Financial Market Outcomes[J].Journal of Financial Economics,2011,102(3):671-708.
[22]Bing H,Kumar A.Speculative Retail Trading and Asset Prices[J].Journal of Financial&Quantitative Analysis,2013,48(2):377-404.
[23]Kumar A,Page J K,Spalt O G.Gambling and Comovement[J].Journal of Financial and Quantitative Analysis,2016,51(1):85-111.
[24]Blau B M.Gambling Preferences,Options2Markets,and Volatility[J].Journal of Financial&Quantitative Analysis,2016,51(2):1-26.
[25]李培馨,刘悦,王宝链.中国股票市场的赌博行为研究[J].财贸经济,2014(3):68-79.
[26]孔高文,刘莎莎,孔东民.赌博偏好是否影响了精明投资者绩效?[J].投资研究,2014(10):87-103.
[27]胡锋,李媛媛.机构投资者赌博吗?——来自机构投资者持股偏好和基金业绩的证据[J].云南财经大学学报,2015(5):99-110.
[28]刘圣尧,李怡宗,杨云红.中国股市的崩盘系统性风险与投资者行为偏好[J].金融研究,2016(2):55-70.
[29]廖理,梁昱,张伟强.谁在中国股票市场中“赌博”?——基于个人投资者交易数据的实证研究[J].清华大学学报(自然科学版),2016(6):677-684.
[30]梁昱,张伟强.彩票型股票与投资者的赌博性偏好:基于中国股票市场数据的实证研究[J].运筹与管理,2017,26(2):117-126.
[31]Kumar A,Page J K.Deviations From Norms and Informed Trading[J].Journal of Financial&Quantitative Analysis,2014,49(4):1005-1037.
[32]Annaert J,Ceuster M D,Verstegen K.Are Extreme Returns Priced in the Stock Market?European Evidence[J].Journal of Banking&Finance,2013,37(9):3401-3411.
[33]Walkshusl C.The MAX Effect:European Evidence[J].Journal of Banking&Finance,2014,42(42):1-10.
[34]Nartea G V,Wu J,Liu H T.Extreme Returns in Emerging Stock Markets:Evidence of A MAX Effect in South Korea[J].Applied Financial Economics,2014,24(6):425-435.
[35]Nartea G V,Kong D,Wu J.Do Extreme Returns Matter in Emerging Markets?Evidence from the Chinese Stock Market[J].Journal of Banking&Finance,2017,76(3):189-197.
[36]Gong P,Dai J.Herding on Lottery-type Stocks:Evidence from the Chinese Stock Market[J].Applied Economics Letters,2018,25(10):659-662.
[37]胡聪慧,张勇,高明.价格时滞、投机性需求与股票收益[J].管理世界,2016(1):44-53.
[38]刘圣尧,李怡宗.股票赌博特征与市场风险异象[J].投资研究,2016(2):4-18.
[39]林煜恩,郑玉敏,邵文霞,池祥萱.赌博行为对公司盈余管理的影响:中国实证[J].金融评论,2015(4):78-91.
[40]汤伟,徐立恒.股票还是彩票:赌博偏好与IPO之谜[J].投资研究,2016(4):37-56.
[41]Green T C,Hwang B H.Initial Public Offerings as Lotteries:Skewness Preference and First-Day Returns[J].Management Science,2012,58(2):432-444.
[42]Doran J S,Jiang D,Peterson D R.Gambling Preference and the New Year Effect of Assets with Lottery Features[J].Review of Finance,2011,16(3):685-731.
[43]Yun M,Pantzalis C.Monthly Cyclicality in Retail Investors’liquidity and Lottery-type Stocks at the Turn of the Month[J].Journal of Banking&Finance,2018,88(3):176-191.
[44]Chen M H,Chen S J,Yen M F,et al.Lottery Premium in the Taiwan Stock Market[J].Asia Pacific Management Review,2008,13:545-556.
[45]Markowitz H.The Utility of Wealth[J].Journal of Political Economy,1952,60(2):151-151.
[46]Arditti F D.Risk and the Required Return on Equity[J].Journal of Finance,1967,22(1):19-36.
[47]Kraus A,Litzenberger R H.Skewness Preference and Valuation of Risk Assets[J].Journal of Finance,1976,31(4):1085-1100.
[48]Harvey C R,Siddique A.Conditional Skewness in Asset Pricing Tests[J].Journal of Finance,2000,55(3):1263-1295.
[49]Hwang S,Satchell S E.Modelling Emerging Market Risk Premia using Higher Moments[J].International Journal of Finance&Economics,1999,4(4):271-296.
[50]Eraker B,Ready M J.Do Investors Overpay for Stocks with Lottery-Like Payoffs?An Examination of the Returns on OTC Stocks[J].Journal of Financial Economics,2014,115(3):86-504.
[51]Baker M,Wurgler J.Investor Sentiment and the Cross-Section of Stock Returns[J].Journal of Finance,2006,61(4):1645-1680.
[52]Stambaugh R F,Jianfeng Y U,Yuan Y U.Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle[J].Journal of Finance,2012,70(5):1903-1948.
(1)传统视角下的“偏度偏好假说”认为非系统性偏度是导致赌博行为的关键变量,第五部分综述的行为金融视角下的“偏度偏好假说”则关注特质偏度。