Retail investors′ preference and stock market gambling premium: A study based on China′s stock market.(散户偏好与股市博彩溢价)

Abstract

In order to explore the different preferences between retail investors and professional investors, this paper constructs the index of retail investors' preference based on the shareholding ratio of institutional investors and a series of stock characteristics of retail investors' preference. Based on this index, this paper further studies the relationship between retail investors' preference and gambling premium in Chinese stock market: (1) the results of bivariate grouping and company level cross-sectional regression show that the higher the retail investors' preference is, the higher the gambling premium is. Even for the gambling variables that have no pricing power in the whole sample, they still show significant pricing power in the stocks with the strongest retail preference. (2) Based on the method of sub sample analysis, it shows that after eliminating part of the retail investors' preference for stocks, the gambling variables in the remaining stocks lose their pricing power. Stocks with a gaming premium do not account for much of the market value. (3) As retail investors are easily affected by market fluctuations, the gambling premium dominated by retail investors is more obvious in the period of good performance of the stock market.(为探究散户投资者与专业投资者之间的不同偏好，基于机构投资者持股比例和一系列散户偏好的股票特征构建了散户偏好指标，并基于该指标进一步研究了中国股市散户偏好与博彩溢价之间的关系。（1）双变量分组和公司层面截面回归结果表明，散户偏好越强的股票博彩溢价越高。即使对于在全样本中不具有定价能力的博彩变量，在散户偏好最强的股票中也能表现出显著定价能力。（2）子样本分析结果表明，在剔除一部分散户偏好股票后，剩余股票博彩变量失去其定价能力。具有博彩溢价的股票其市值占比并不大。（3）散户投资者易受市场波动影响，因此由散户主导的博彩溢价在股市表现良好时期更为明显。)

Keywords

• retail preference(散户偏好)
• gambling premium(博彩溢价)
• bivariate grouping(双变量分组)
• cross sectional regression(截面回归)
• subsample analysis(子样本分析)