Do the rich gamble in the stock market? Low risk anomalies and wealthy households

• 成果类型: Article
• 署名作者: Bali, Turan G.; Gunaydin, A. Doruk; Jansson, Thomas; Karabulut, Yigitcan
• 署名单位: Georgetown University; Sabanci University; Sveriges Riksbank; Frankfurt School Finance & Management; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103715
• 发表日期: 2023
• 关键词: Low risk anomalies; individual investors; idiosyncratic volatility; Lottery stocks; skewness preference; social status; Wealthy investors

摘要

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this puzzling result that the anomalous negative risk-return relation is only confined to those stocks predominantly held by rich households, whereas the anomaly disappears for stocks held by non-rich households and institutional investors. We find that social status concern of rich households and the induced lottery preference explain wealthy investors' demand for high-risk stocks, leading to overpricing and low future returns for such stocks.