Journal of Financial and Quantitative Analysis, Volume 51, Issue 1 February 2016, pp. 85-111

赌博和联动性

作者：Alok Kumar (University of Miami-School of Business Administration), Jeremy K. Page (Brigham Young University-Marriott School of Management), Oliver G. Spalt (Tilburg University-School of Economics and Management)

摘要：本文研究表明，由具有赌博动机的投资者产生的相关交易会在具有彩票性质的股票中产生超额收益联动。彩票性质的股票彼此间联动强烈，并且这种收益联动在拥有更强赌博倾向的投资者聚集的地区表现更为明显。直接考察投资者的交易，我们发现具有更强赌博倾向的投资者会更加积极地进行彩票性质的股票交易，这些交易也显著相关。最后，我们证明了赌博热情和由于经济波动产生的收入冲击的时变会引致系统组成中投资者对彩票性质股票的需求。

Gambling and Comovement

Alok Kumar (University of Miami-School of Business Administration), Jeremy K. Page (Brigham Young University-Marriott School of Management), Oliver G. Spalt (Tilburg University-School of Economics and Management)

ABSTRACT

This study shows that correlated trading by gambling-motivated investors generates excess return comovement among stocks with lottery features. Lottery-like stocks comove strongly with one another, and this return comovement is strongest among lottery stocks located in regions where investors exhibit stronger gambling propensity. Looking directly at investor trades, we find that investors with a greater propensity to gamble trade lottery-like stocks more actively and that those trades are more strongly correlated. Finally, we demonstrate that time variation in general gambling enthusiasm and income shocks from fluctuating economic conditions induce a systematic component in investors’ demand for lottery-like stocks.

原文链接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/gambling-and-comovement/8BEAB1F5DA5B9FCA04F6C5BEC4584E15

翻译：傅亚平