投资者赌博偏好对股价崩盘风险的影响研究

股价崩盘风险作为一种极端风险，严重威胁投资者的利益和金融市场的健康稳定运行。现有的研究主要集中在公司内部因素和市场制度环境因素上，投资者非理性视角下的相关研究还比较少见。本项目拟从投资者赌博偏好这一非理性因素出发来研究股价崩盘风险问题：首先对赌博偏好进行更为直接的、动态的度量，并在此基础上基于风险态度理论和偏度理论等来研究赌博偏好的行为特征；其次，研究赌博偏好对资产价格行为的影响，并进一步重点研究其对股价崩盘风险的影响及其相应机制；最后，从赌博偏好的视角来研究股价崩盘风险的传染问题，以及这种传染如何导致股市崩盘。本项目试图从投资者赌博偏好这一非理性层面，来更为深刻的理解近年股价崩盘风险中伴随的以“高杠杆”为外在特征的赌博偏好行为，及其对股价崩盘风险的内在影响机制。

As an extreme risk, stock price crash has a serious threat to the interests of investors and the stability of financial markets. While the existing studies have mainly focused on the internal factors of company or the institutional and environmental factors, there is less attention paid to the investor irrationality. This project intends to investigate the stock price crash from the view of gambling preference. First, we will develop more direct and dynamic measures of gambling preference, and on this basis we can further study its corresponding behavior characteristics according to the theories of risk attitude and skewness. Secondly, we will study the influence of gambling preference on asset pricing, and then study its influence on stock price crash risk and the corresponding mechanism. Finally, from the perspective of gambling preference, we study the contagion of stock price crash risk, and how this contagion causes stock market crash. This project attempts to deeply understand the gambling preference behavior hidden behind the recent crash process with high leverage ratio, and the underlying mechanism of its effect on stock price crash.