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本文发现中国股市存在博彩(投机)溢价,且无法为Fama-French三因子模型解释。尽管在组合构造期内,博彩型股票存在显著溢价,但组合的超额收益会迅速消失,并未给投资者(或投机者)带来持续的财富效应。基于知情交易概率测度,我们进一步发现中国股市的知情交易者驱动(或引发)了博彩型股票溢价;在组合构造后的月份,并没有明显的知情交易者存在,这意味着知情交易者在基于私人信息获利之后,那些随后进入市场的投资者(动量交易者)无法获得超额收益。
This article finds that there is a betting (speculative) premium on China’s stock market and can not explain the Fama-French three-factor model. Although there is a significant premium for gaming stocks during the portfolio construction period, the excess returns of the portfolio will quickly disappear without creating lasting wealth effects for investors (or speculators). Based on the probability of informed trading, we further find that the knowledge-based traders in China’s stock market drive (or trigger) the premium of the gaming stocks. In the month after the combination construction, there is no obvious informed trader, which means that the informed traders in the After the personal information is monetized, those who subsequently enter the market (momentum traders) can not get excess returns.