Why Do Investors Like Short-leg Securities? Evidence from a Textual Analysis of Buy Recommendations
通过文本分析分析师报告和在线股票推荐文章，发现投资者偏好买入高价格、低未来收益的“空头端证券”主要源于其彩票型特征，而非避险或狂热情绪，调查结果进一步验证了这一结论。
Abstract Our paper examines analyst reports and online stock opinion articles which recommend buying stocks that, based on the literature, trade at high prices and earn low future returns (“short-leg securities”). Using a textual analysis, we test whether the justifications primarily (1) emphasize safe-haven qualities, (2) indicate exuberance, or (3) highlight lottery-like features. Our results strongly point to (3). We subsequently validate our text-based inferences through a survey of institutional and retail investors with long positions in short-leg securities. Overall, perceived upside potential appears to play a material role in driving investor demand for stocks in the short legs of anomalies.