市场层面投资者风险偏好特征研究

发布时间：2018-03-14 05:44

本文选题：风险偏好　切入点：前景理论　出处：《长沙理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：风险偏好即人们对待风险的态度，反映人们对风险资产所要求的补偿。通常投资者持有高风险资产就会要求高风险补偿，因此预期收益随风险的提高而增加，在资本资产定价研究中体现为市场风险与收益呈正相关关系。然而，学者们在股票市场上对风险与收益之间存在的这种正相关关系并未达成一致。同时，标准金融理论基于“理性人”的假设，认为人们始终表现出一致的风险态度。而根据Kahneman和Tversky提出的前景理论，人们的在进行投资决策时并非完全理性的，其决策行为会受到个人心理等非理性因素影响，，在获得收益时表现为风险规避，在面临损失时表现为风险寻求。这表明其承担每单位要求的风险所要求补偿会随其当期损益状态而变化，这可能是导致风险与收益关系不一致的重要原因。本文对投资者面临收益或损失时的风险偏好特征进行了研究，以一个新的视角（行为金融理论）来解释金融资产风险与收益关系不一致原因。行为金融学中，对投资者风险偏好特征的研究大多是基于心理学实验或采用个人交易账户数据，且存在诸多争议。因为利用实验很难完全反映真实市场中投资者的决策行为，根据实验模拟出来的场景与实际场景往往存在差异，而投资者个人交易账户数据的获取往往非常困难，且只能代表部分投资者而无法反映市场整体状况，不具有代表性，运用这两种途径获取的样本数量是有限，存在着一定的局限性。因而本文以市场上投资者整体行为作为研究对象，利用股票市场数据，在市场层面上对投资者风险偏好特征进行研究可以有效地解决这些问题。本文在对相关理论研究进行总结的基础上，考虑投资者在获得收益或损失的不同状态下的风险偏好特征会有差异，建立了区分投资者收益和损失状态的D-GARCH-M模型，并在此模型的基础上引入投资者的参考收益率构建了DR-GARCH-M模型，来考察投资者收益或损失的大小对风险偏好特征的影响。选取了2011年国际股票交易所市值排名前10的股票市场的综合指数数据为样本进行了实证研究，研究结果表明：投资者在收益时风险规避，表现为风险与收益正相关；在损失时风险寻求，表现为风险与收益呈现负相关关系，进一步地从投资者行为偏差角度解释了风险和收益关系的不一致。在考虑了收益或损失的大小对风险偏好特征的影响后，研究发现投资者的风险规避程度与收益大小成正比，风险寻求程度与损失大小成正比；并且投资者获得每单位损失，其风险寻求程度大于在获得每单位收益时的风险规避程度。
[Abstract]:Risk preference is the attitude of people towards risk, which reflects the compensation that people demand for risky assets. Usually, investors who hold high-risk assets demand high risk compensation, so the expected return increases with the increase of risk. In the study of capital asset pricing, there is a positive correlation between market risk and return. However, scholars do not agree on the positive correlation between risk and return in the stock market. At the same time, the standard financial theory is based on the hypothesis of "rational man" and thinks that people always show consistent risk attitude. According to the prospect theory proposed by Kahneman and Tversky, people's investment decisions are not completely rational. Their decision-making behavior will be influenced by irrational factors such as personal psychology and so on. Risk seeking when faced with loss. This indicates that the compensation required for each unit will vary according to its current profit and loss status. This may be an important reason for the inconsistency between risk and return. A new perspective (behavioral finance theory) is used to explain the inconsistency between risk and return of financial assets. In behavioral finance, most of the studies on investor risk preference are based on psychological experiments or personal trading account data, and there are many controversies, because the use of experiments is difficult to fully reflect the investors' decision-making behavior in the real market. According to the experimental simulation scenario and the actual scenario are often different, and the investor personal trading account data acquisition is often very difficult, and only on behalf of some investors can not reflect the overall situation of the market, not representative. The number of samples obtained by these two methods is limited, and there are some limitations. Therefore, this paper takes the whole behavior of investors in the market as the research object and uses the stock market data. On the market level, the research on risk preference characteristics of investors can effectively solve these problems. On the basis of summarizing the relevant theoretical research, considering that the risk preference characteristics of investors will be different in different states of income or loss, a D-GARCH-M model is established to distinguish the return and loss states of investors. On the basis of this model, the DR-GARCH-M model is constructed by introducing the investor's reference rate of return. To investigate the influence of investors' return or loss on risk preference characteristics, this paper selects the composite index data of market value's top 10 stock market in 2011 as a sample to conduct an empirical study. The results show that investors' risk aversion is positively related to return, and risk is negatively correlated with return when they lose. After considering the influence of the size of return or loss on the characteristics of risk preference, it is found that the degree of risk aversion of investors is proportional to the size of return. The degree of risk seeking is directly proportional to the loss, and the degree of risk seeking is greater than the degree of risk evading when the investor obtains the loss per unit.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.59

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