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Abstract This paper sheds new light on the relation between investor trading behaviour and crash risk to examine how investors react to stocks with lottery features in Chinese Stock Market. We find that investor trading behaviour has a greater impact on stocks with higher crash risk, which implies that investors overreact to stocks with higher stock price crash risk. Furthermore, investor trading behaviour has strongest effects on stocks with highest crash risk and highest idiosyncratic risk and has weakest effects on stocks with lowest crash risk and lowest idiosyncratic risk, which indicates that investors gamble lottery‐like stocks with high crash risk and high idiosyncratic risk. Collectively, these results support a role for investor trading behaviour in the formation of stock returns.
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