Abstract:
As an extreme phenomenon, price crash is common and influential in financial markets and plays an important role in asset pricing. This paper studies systematic crash risk in China stock market. The empirical results suggest that there is a significantly positive relationship between systematic crash risk and expected return, and after hedging the highest and lowest risk portfolio, the annual excess return is 8.86%. This paper also provides evidence that investors’ lottery preference and lucky number preference significantly affect the relationship between them. This paper has important implications for investment decision, risk management, and understanding the behavior of investors.
刘圣尧, 李怡宗, 杨云红. 中国股市的崩盘系统性风险与投资者行为偏好[J]. 金融研究, 2016, 428(2): 55-70.
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