【摘要】 股价崩盘作为金融市场上普遍存在并且具有广泛影响力的极端现象,对股票的定价产生了至关重要的作用。本文主要研究我国股市中股票的崩盘系统性风险,研究发现:(1)股票的崩盘系统性风险与预期收益率显著正相关,并且对冲组合可以获得8.86%的年化收益;(2)投资者的博彩型股票偏好和吉祥数字偏好都会显著影响崩盘系统性风险与预期收益率之间的关系。本文的研究对于进行投资决策、风险管理以及理解投资者行为都具有参考意义。更多还原

【Abstract】 As an extreme phenomenon,price crash is common and influential in financial markets and plays an important role in asset pricing. This paper studies systematic crash risk in China stock market. The empirical results suggest that there is a significantly positive relationship between systematic crash risk and expected return,and after hedging the highest and lowest risk portfolio,the annual excess return is 8. 86%. This paper also provides evidence that investors’ lottery preference and lucky number preference significantly affect the relationship between them. This paper has important implications for investment decision,risk management,and understanding the behavior of investors.更多还原