| Gambling behavior of participants in the stock market takes the form of purchasing these stocks which can obtain a large return of a small probability.Because these stocks have similar characteristics to the lottery,they are called "lottery-like stocks" or"gambling-like stocks".The price and return behavior of lottery-like stocks is the market performance of investors’ gambling preference and gambling behavior.At the practical level,doing researches on issues related to lottery-like stocks,will not only help investors practice investment strategies,but also help the securities regulatory departments instruct investors to make rational investment.At the theoretical level,doing researches on issues related to lottery-like stocks,will not only help examine the applicability of traditional finance theory and behavioral finance theory in explaining the market anomalies,but also can deepen researchers’ understanding of Chinese stock market’s efficiency and operation state.Domestic researches mainly concentrate on examining the return of lottery-like stocks in Chinese stock market.They find lottery-like stocks have a return performance that cannot be explained by classical asset pricing models such as CAPM and Fama-French three factor model.They offer some empirical evidences of "lottery-like return".However,the identification of lottery-like stocks is still a controversial issue;lottery-like stocks’ market performance has not been studied in detail by domestic researchers;the reason of lottery-like return has not been examined substantively in our country.Based on all the A-share stocks of China’s Shanghai Stock Market and Shenzhen Stock Market in period of January 1997 to August 2015,this thesis uses methods such as portfolio spreads method,Fama-MacBeth regression,Markova regime switching model,multifactor pricing model,two-stage cross-sectional regressions method and so on,to research on the lottery-like stocks of Chinese stock market.First of all,this thesis identifies Chinese stock market’s lottery-like stocks from a variety of identification indexes and compares identification ability of these indexes;then investigates the market performance of lottery-like stocks in Chinese stock market and compares them with European and American stock markets;finally,based on model misspecification,this thesis tests lottery-like return’s explanation of risk.After confirming mispricing explanation,this thesis uses the mispricing index and investor sentiment to make further analysis of lottery-like return.The main research contents and conclusions can be summarized as follows:Firstly,this thesis makes identification analysis of lottery-like stocks.Using stock trading data,researchers have constructed a variety of indirect identification indexes of lottery-Like stocks.However,the theoretical explanation and empirical results of these identification indexes have great differences.This thesis proposes two important characteristics of lottery-like stocks,namely positively skewed return and negative abnormal returns,as criterion for judgment.Based on Lottery Stock Index of each index,using portfolio spreads method and Fama-MacBeth regression,we make a comprehensive comparison and analysis of these indexes’ identification ability.Our empirical results show that the best identification index is MAX which has the best observability;IS,Coml and Com2 also have some degree of identification ability;the identification ability of EIS which has not been used in China is weak;composite indexes are not more effective than single indexes.Secondly,this thesis investigates the market performance of lottery-like stocks in Chinese stock market.It should be stated that the basic characteristics of lottery-like stocks(i.e.,positively skewed return and negative abnormal returns)are different from the market performance features.The former is the unique nature of lottery-like stocks and can be used as criterion for judging the strength of stock’s gaming nature,and the latter is the various features of lottery-like stocks in the market transactions.We investigate the market performance of lottery-like stocks mainly from four aspects,such as the company features,industry features,duration of the gaming characteristics and time variability of the gaming characteristics.At the same time,we compare and analyze the similarities and differences between Chinese stock market and western mature markets.The empirical results show that:(1)Based these identification indexes,the majority of company features are consistent,but there still are some differences.According to the best index MAX,lottery-like stocks have smaller firm size and book to market ratio,poorer liquidity,and higher volatility,risk factor beta and turnover rate.(2)The gaming characteristics of lottery-like stocks in Chinese stock market has some degree of durability in the short term,but it is weaker than European and American stock markets’.(3)According to MAX,from the proportional point of view,the proportion of lottery-like(nolottery-like)stocks are relatively high(low)in the communication and cultural industry,information technology industry.The proportion of lottery-like(nolottery-like)stocks are relatively low(high)in the electricity,gas and water industry,transportation and warehousing industry,financial and insurance industry.For positively skewed return and negative abnormal returns,the stocks in transportation and warehousing industry,agriculture,forestry,animal husbandry and fisheries industry,comprehensive industry show stronger gaming characteristics.(4)The characteristics of lottery-like stocks in Chinese stock market are time-varying,which is opposite to the market trend.When the market situation is good,the strength of stocks’gambling nature is weaker;but when the market situation is bad,it will be stronger.Thirdly,this thesis tests lottery-like return’s explanation of risk based on model misspecification.The explanation of risk attributes the lottery-like return to a setting error of the pricing model,that is,the pricing model omits some pricing factor which can control the return of gambling risk.The explanation of mispricing attributes the lottery-like return to the mispricing of lottery-like stocks.Based on the construction of a gaming factor,using the three factor and four factor model test,while controlling the impact of gambling characteristics and other factors on the stock return,we distinguish the gambling risk pricing and gaming characteristic pricing.Then,we use the 2SCSR method to further examine whether the gaming factor is a pricing factor.At the same time,the gaming index is added to compare the explanatory power of the gaming characteristic and the gaming factor to stock returns.The empirical results show that the explanation of risk cannot explain lottery-like return,and thus the explanation of mispricing is maybe right.Fourthly,based on mispricing and investor sentiment,this thesis provides a behavioral finance interpretation of lottery-like return.This thesis theoretically analyzes how investor sentiment affects the degree of mispricing,and then influences lottery-like return.We put forward several hypothesis that will be examined.Then,we construct the mispricing index,and analyze the relationship between lottery-like return and mispricing to examine whether the lottery-like return can be attributed to overvaluation of stock price.On the basis of researching the relationship between lottery-like return and mispricing,we introduce investor sentiment to analyze the influence of the relationship between mispricing and lottery-like return.Our empirical results show that lottery-like return is a mispricing phenomenon,and investors’ behavioral bias causes and aggravates it.Compared with the domestic researches in the past,the main contribution of this thesis is as follows:Firstly,based on the proposed two criteria,this thesis comprehensively compares the various identification indexes,and finds the best index for Chinese stock market.The domestic and foreign researches have constructed a variety of lottery-like stocks’identification indexes.However,there are many disputes about the selection of these indexes,including:the selection of single indexes and composite indexes;the selection of ex ante indexes and predictive indexes;the influence over identification ability of indexes’observability and so on.The reason for these disputes lies in the lack of standards for judging the ability of each index.This thesis proposes two important characteristics of lottery-like stocks,namely positively skewed return and negative abnormal returns,as criterion for judgment.Then,using the actual data of Chinese stock market,we make a comprehensive comparison of all indexes’ identification ability.In addition,we improve the LIDX to make it characterize the gaming nature of different stocks more clearly and more comprehensively.Secondly,this thesis does a multi dimensions study on the market performance of lottery-like stocks,which has not been detailed investigated by existing domestic researches.The focus of the existing domestic researches is to examine the relationship between a identification index and future return of stock,lacking detailed research on the market performance of lottery-like stocks.In addition,although some domestic researches examine the market performance,but different researches use different identification indexes resulting in different conclusions.To this end,this thesis analyzes the market performance of lottery-like stocks in Chinese stock market.Considering the particularity of Chinese stock market,we also makes a comparative analysis of domestic and foreign literatures’ results.Thirdly,based on model misspecification,this thesis tests whether the lottery-like return comes from a systemic risk.The related content of this thesis makes up the gap of domestic researches on lottery-like return.Although part of the domestic researches involve the interpretation of the reason of lottery-like return,but they have not made any substantive examination.In fact,these explanations are almost directly borrowed from the foreign research conclusion of mispricing theories.However,before using the perspective of behavioral finance,we need to makes a exploration of lottery-like return’risk explanation.Based on the analysis of identification indexes,this thesis constructs gaming factors which are suitable for Chinese stock market,and uses the multifactor models and the 2SCSR method to research the origin of lottery-like return.Fourthly,this thesis expands the existing explanation in the present behavioral finance domestic researches.There have been very few domestic researches examine the origin of lottery-like return from the perspective of behavioral finance,but they have some limitations.For example,a research model assumes that investors are only concerned about stocks’idiosyncratic characteristics,that is,in fact,its conclusion has been implied in its hypothesis.What’s more,these relevant theoretical explanations are difficult to get validation from actual data,because they involve investors’ preference and psychological factors.Combined with existing theoretical researches,this thesis provides a feasible examination to explain lottery-like return from the perspective of mispricing which is based on investor sentiment. |
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