散户偏好与股市博彩溢价OA北大核心CSTPCD

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.