CAJ | 학술논문

国人赌性较强，这种博彩偏好是否会反映在股票市场是本文的研究主题。限于调查数据和交易数据的可获得性，本文使用低股价、高的历史日收益率和高换手率识别股票的彩票特性，并用Kumar（2009）提出的低股价、高特质偏度和高特质波动率检验上述指标的合理性。结果发现，我国股票市场存在明显的彩票偏好，但彩票偏好并无明显的行业聚集和个股持续现象。除了规模效应之外，彩票偏好并不为公司特征所解释，而与博彩行为一致，受到宏观经济状况的显著影响。同时，由于彩票类股票被彩票偏好投资者过度追逐，其年收益率至少低于其他股票5％。
국인도성교강，저충박채편호시부회반영재고표시장시본문적연구주제。한우조사수거화교역수거적가획득성，본문사용저고개、고적역사일수익솔화고환수솔식별고표적채표특성，병용Kumar（2009）제출적저고개、고특질편도화고특질파동솔검험상술지표적합이성。결과발현，아국고표시장존재명현적채표편호，단채표편호병무명현적행업취집화개고지속현상。제료규모효응지외，채표편호병불위공사특정소해석，이여박채행위일치，수도굉관경제상황적현저영향。동시，유우채표류고표피채표편호투자자과도추축，기년수익솔지소저우기타고표5％。
The desire to gamble is deep-rooted in Chinese psyche, and whether the lottery preference is reflected on the stock market is the topic of this paper. Subject to the availability of survey data and transaction data, we use low price,high historical return and high turnover rate to identify the attributes of lottery-like stock, and check the rationality of the grouping index based on the low price, high idiosyncratic skewness and high idiosyncratic volatility adapted by Kumar （2009）. There exists obvious lottery preference on Chinese stock market, but no lottery preference industry concentration and individual stock being consistently classified into lottery-like group phenomenon. Lottery preference cannot be explained by firm characteristics, while in accordance with gambling, macro-economic condition indeed affects lottery-like stock preference. At the meanwhile, due to the excessive chase for lottery-like stock by investors with lottery preference, lottery- like stocks earn at least 5% return rate lower than other stocks.