本文選題：風(fēng)險(xiǎn)偏好　切入點(diǎn)：前景理論　出處：《長(zhǎng)沙理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：風(fēng)險(xiǎn)偏好即人們對(duì)待風(fēng)險(xiǎn)的態(tài)度，反映人們對(duì)風(fēng)險(xiǎn)資產(chǎn)所要求的補(bǔ)償。通常投資者持有高風(fēng)險(xiǎn)資產(chǎn)就會(huì)要求高風(fēng)險(xiǎn)補(bǔ)償，因此預(yù)期收益隨風(fēng)險(xiǎn)的提高而增加，在資本資產(chǎn)定價(jià)研究中體現(xiàn)為市場(chǎng)風(fēng)險(xiǎn)與收益呈正相關(guān)關(guān)系。然而，學(xué)者們?cè)诠善笔袌?chǎng)上對(duì)風(fēng)險(xiǎn)與收益之間存在的這種正相關(guān)關(guān)系并未達(dá)成一致。 同時(shí)，標(biāo)準(zhǔn)金融理論基于“理性人”的假設(shè)，認(rèn)為人們始終表現(xiàn)出一致的風(fēng)險(xiǎn)態(tài)度。而根據(jù)Kahneman和Tversky提出的前景理論，人們的在進(jìn)行投資決策時(shí)并非完全理性的，其決策行為會(huì)受到個(gè)人心理等非理性因素影響，，在獲得收益時(shí)表現(xiàn)為風(fēng)險(xiǎn)規(guī)避，在面臨損失時(shí)表現(xiàn)為風(fēng)險(xiǎn)尋求。這表明其承擔(dān)每單位要求的風(fēng)險(xiǎn)所要求補(bǔ)償會(huì)隨其當(dāng)期損益狀態(tài)而變化，這可能是導(dǎo)致風(fēng)險(xiǎn)與收益關(guān)系不一致的重要原因。本文對(duì)投資者面臨收益或損失時(shí)的風(fēng)險(xiǎn)偏好特征進(jìn)行了研究，以一個(gè)新的視角（行為金融理論）來解釋金融資產(chǎn)風(fēng)險(xiǎn)與收益關(guān)系不一致原因。 行為金融學(xué)中，對(duì)投資者風(fēng)險(xiǎn)偏好特征的研究大多是基于心理學(xué)實(shí)驗(yàn)或采用個(gè)人交易賬戶數(shù)據(jù)，且存在諸多爭(zhēng)議。因?yàn)槔脤?shí)驗(yàn)很難完全反映真實(shí)市場(chǎng)中投資者的決策行為，根據(jù)實(shí)驗(yàn)?zāi)M出來的場(chǎng)景與實(shí)際場(chǎng)景往往存在差異，而投資者個(gè)人交易賬戶數(shù)據(jù)的獲取往往非常困難，且只能代表部分投資者而無法反映市場(chǎng)整體狀況，不具有代表性，運(yùn)用這兩種途徑獲取的樣本數(shù)量是有限，存在著一定的局限性。因而本文以市場(chǎng)上投資者整體行為作為研究對(duì)象，利用股票市場(chǎng)數(shù)據(jù)，在市場(chǎng)層面上對(duì)投資者風(fēng)險(xiǎn)偏好特征進(jìn)行研究可以有效地解決這些問題。 本文在對(duì)相關(guān)理論研究進(jìn)行總結(jié)的基礎(chǔ)上，考慮投資者在獲得收益或損失的不同狀態(tài)下的風(fēng)險(xiǎn)偏好特征會(huì)有差異，建立了區(qū)分投資者收益和損失狀態(tài)的D-GARCH-M模型，并在此模型的基礎(chǔ)上引入投資者的參考收益率構(gòu)建了DR-GARCH-M模型，來考察投資者收益或損失的大小對(duì)風(fēng)險(xiǎn)偏好特征的影響。選取了2011年國(guó)際股票交易所市值排名前10的股票市場(chǎng)的綜合指數(shù)數(shù)據(jù)為樣本進(jìn)行了實(shí)證研究，研究結(jié)果表明：投資者在收益時(shí)風(fēng)險(xiǎn)規(guī)避，表現(xiàn)為風(fēng)險(xiǎn)與收益正相關(guān)；在損失時(shí)風(fēng)險(xiǎn)尋求，表現(xiàn)為風(fēng)險(xiǎn)與收益呈現(xiàn)負(fù)相關(guān)關(guān)系，進(jìn)一步地從投資者行為偏差角度解釋了風(fēng)險(xiǎn)和收益關(guān)系的不一致。在考慮了收益或損失的大小對(duì)風(fēng)險(xiǎn)偏好特征的影響后，研究發(fā)現(xiàn)投資者的風(fēng)險(xiǎn)規(guī)避程度與收益大小成正比，風(fēng)險(xiǎn)尋求程度與損失大小成正比；并且投資者獲得每單位損失，其風(fēng)險(xiǎn)尋求程度大于在獲得每單位收益時(shí)的風(fēng)險(xiǎn)規(guī)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.
【學(xué)位授予單位】：長(zhǎng)沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F830.59

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