异质偏好对企业投资策略的影响

The Effect of Heterogenous Preferences on Corporate Investment Strategies

如果投资者具有异质偏好,那么他们的投资策略是否会有所不同?该问题对于分析投资者行为和理解金融市场波动具有重要意义、但目前该问题的相关研究还很不够,理论和实证上都亟待加强。本文基于常相对风险厌恶效用函数(CRRA),采用乘数偏好和预期效用偏好,对比研究异质偏好对企业投资决策产生的影响。在纯交换经济条件下,本文推导出了两种偏好所决定的企业投资策略,并进行了实证分析。分析结果表明,异质偏好对投资决策有实质性影响。这一研究方法对于异质偏好及其效应的研究,具有较为普遍的借鉴意义。

Do corporate investment strategies vary if preferences of investors are heterogeneous？ The answer to this question is valuable for understanding investor behaviors and financial market volatilities. The research on this question, however, is insufficient theoretically and empirically. We employ Constant Relative Risk Aversion （CRRA） Utility Function, Multiplier Preferences and Expected Utility Preferences to study the effects of heteroge- neous preferences on corporate investment strategies. The strategies determined by the two preferences are derived within a pure exchange economy and related empirical tests are conducted. The result shows that heterogeneous preferences have some substantial effects on investment decision makings. The approach proposed in this paper would be inspiring for the study with respect to heterogeneous preferences and their effects.