股票市场投资者损失厌恶特征实证研究

Empirical Research of Investors' Loss Aversion Characteristics in Stock Market

本文在前景理论框架下,基于预期损失厌恶效用最大化的角度研究投资者的损失厌恶效用函数,将我国股票市场分为牛市和熊市,实证分析效用函数中损失曲率和收益曲率的关系;并引入投资者不同的风险偏好,分别研究保守、稳健和积极投资者在整个样本期、牛市和熊市中的损失厌恶系数。结果表明:投资者对损失的改变比对收益的改变更敏感,损失厌恶系数依赖于市场状态和投资者风险偏好,在我国股票市场的实际背景下研究投资者的损失厌恶效用采用Kahneman和Tversky提出的参数值不合适。

Under the framework of prospect theory, loss aversion utility function of investors is studied from the aspect of maximization of expected loss aversion utility.Relying on the stock market divided into two states including bull and bear periods, we empirically analyze the relationship between return curvature parameter and loss curvature parameter. Further,considering investors' different risk attitudes, loss aversion coefficients of conservative, robust and positive investors are researched in the whole sample period as well as bull and bear periods. The conclusions are that investors are more sensitive to the change of loss than that of return and the loss aversion coefficients of investors depend onmarket conditions and risk preferences of investors, which mean that it's not appropriate to use the coefficients suggested by Kahnemanand and Tversky to study investors' loss aversion utility under the actual background of stock market in China.