Considering the strong gambling preference of retail investors in emerging markets and using the data of Chinese A-share listed companies from 2000 to 2018, this paper constructs an index of investor's gambling preference based on the theory of explicit preference and develops a factor model to...

We provide a simple method to track firm-specific investor gambling intensity based on the publicly available transaction data. This identification approach effectively incorporates information on what and how much to buy in the trading decision of an investor with gambling preference. We...