Do the rich gamble in the stock market? Low risk anomalies and wealthy households
研究发现低风险股票跑赢高风险股票的反常现象仅存在于富裕家庭持有的股票中，原因是富人出于社会地位担忧而偏好彩票型股票，导致其被高估和未来回报偏低。
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.