【作者】 杨帆；

【导师】 龚朴；

【作者基本信息】 华中科技大学 ， 管理科学与工程， 2019， 硕士

【摘要】 识别股票收益中的联动来源是资产定价研究的基本目标之一。传统上多从基本面信息的角度解释,随着行为金融学的发展,很多文献从这个层面解释股票收益间的协同作用,比如投资者情绪、偏好、投资风格等。中国股票市场资产收益也存在着明显的协同作用,相较西方市场,我国股市成立时间较短、散户投资者众多,更容易受投资者情绪的影响,因此,被学者戏称为“赌市”,赌博情绪是影响投资者行为决策的重要因素,这会导致他们偏好具有彩票特征的股票。为识别具有彩票特征的股票,本文选择低价格、高特质波动、高偏度三个指标度量股票的彩票属性,构建彩票型指数,识别A股市场的彩票型股票。同时,对彩票型股票的特征进行分析,发现房地产业、交通运输等5个行业存在集聚现象;考察整个样本区间,对于3566只股票,接近50%的股票都曾被定义为彩票型股票,而被定义1到3次的数量居多,说明我国股票市场受到强烈的赌博情绪的影响。在构建彩票型股票指数的基础上,文章估计了彩票型股票组合对个股收益的协同β,发现彩票-股票beta具有显著积极的意义,在统计上与Fama-French三因子的系数估计值相当。接下来,文章以省市彩票销售额/GDP比例作为赌博情绪的地理代理变量,研究了赌博态度对彩票型股票协同收益的影响,表明有赌博动机的投资者进行相关交易会在具有彩票特征的股票之间产生超额回报的协同作用。彩票型股票之间具有强烈的相互关系,这种回报的协同在投资者具有较强赌博倾向的地区的彩票股中最为强劲。最后,用宏观指数区分不同地区,研究经济条件和收入冲击对彩票型股票需求变动的系统性影响,发现当地经济条件相对较好时,以赌博为主导的投资者在彩票型股票收益间产生的协同作用更大。更多还原

【Abstract】 To identify the sources of comovement in stock returns is one of the basic goals of asset pricing research.Traditionally,it’s explained from the aspect of the fundamental information.With the development of behavior finance,many literatures explained the comovement in stock returns from other aspects,such as investors’ emotion,preference and investment style.In Chinese stock market,there are obvious comovement in return on assets compared to the western market.Therefore,Chinese market is known as“Gambling".Gambling emotion is a key factor that influences investors’ decision making.It also leads to their preferences on lottery-like stocks.To identify lottery-like stocks,this research chose low price,high idiosyncratic fluctuation and high skewness these 3 indexes to measure the lottery attribute of stocks,building up the lottery type index,identifying A-share market lottery stocks.In the meantime,we analyze the attributes of lottery-like stocks,finding that concentration phenomenon exists in 5 trades including real estate,transportation and so on.Considering the whole sample interval,for 3566 stocks,nearly 50%stocks have ever been defined as lottery-like stocks,and most of which are defined 1-3 times.It suggests that Chinese stock market is strongly affected by the gambling emotion.On the basis of building up the index of lottery-like stocks,this passage estimates p,the comovement of the lottery-like stock portfolio to the individual stock,finding that beta is of significantly positive influence,equal to the coefficient estimation of the Fama-French three-factor in the statistical.Then,this passage takes the ratio of provincial lottery sales to GDP as the geographical proxy variable of gambling emotion,studying the influence of gambling attitudes to the return comovement of lottery-like stocks,showing that investors who have the gambling motives to make relevant transactions will cause the excess return comovement in lottery-like stocks.The stronger relation in lottery-like stocks,the fiercer return comovement is in which investors’ gambling tendency is the strongest.Finally,we use macro indices to distinguish different regions and study the systematic impact of economic conditions and income shocks on the demand for lottery-like stocks,finding when the local economic conditions are relatively good,the return comovement of the investors dominated by gambling on the returns of lottery-like stocks is much greater.更多还原