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

賭博和聯動性

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，由具有賭博動機的投資者産生的相關交易會在具有彩票性質的股票中産生超額收益聯動。彩票性質的股票彼此間聯動強烈，并且這種收益聯動在擁有更強賭博傾向的投資者聚集的地區表現更為明顯。直接考察投資者的交易，我們發現具有更強賭博傾向的投資者會更加積極地進行彩票性質的股票交易，這些交易也顯著相關。最後，我們證明了賭博熱情和由于經濟波動産生的收入沖擊的時變會引緻系統組成中投資者對彩票性質股票的需求。

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.

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

翻譯：傅亞平