 The gambling preference and stock price: Evidence from China's stock marketHong-bing Zhu, Bing Zhang and Li-hua Yang Emerging Markets Review, 2021, vol. 49, issue C Abstract: Considering the strong gambling preference of retail investors in emerging markets and using the data of Chinese A-share listed companies from 2000 to 2018, this paper constructs an index of investor's gambling preference based on the theory of explicit preference and develops a factor model to capture the risk premium of gambling by introducing gambling factors. The results show that the factor model not only fits the gambling characteristics of the Chinese stock market well but also has strong explanatory power for common market anomalies. Through the index of capital gains over-hang (Wang et al., 2016), this paper further finds that facing different degrees of losses, investors will show different gambling preferences. The factor model also shows stronger explanatory power in the sample with more losses, revealing the investment characteristics of retail investors that the more you gamble and the more you lose. This study would be meaningful for exploring behavioral pricing factors, understanding emerging stock markets and supporting investment practice. Keywords: Gambling preference; Gambling factor; Capital gains over-hang; Emerging market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:49:y:2021:i:c:s156601412100011x DOI: 10.1016/j.ememar.2021.100803 Access Statistics for this article Emerging Markets Review is currently edited by Jonathan A. Batten More articles in Emerging Markets Review from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.