中国A股市场下行风险研究--基于广义失望厌恶行为视角

Downside Risk in the Chinese A-Share Market:Based on the Perspective of Generalized Disappointment Aversion

本文基于投资者广义失望厌恶行为研究了中国股市中下行风险情况,全面考察投资者行为与风险收益之间的联系。通过实证研究发现:首先,广义失望厌恶和股市下行因子能够解释资产预期收益率,中国股市投资者存在典型的广义失望厌恶行为,而波动项在中国股市中解释收益率的效果较差。其次,进一步的分段检验发现,股市下行因子的超额收益背后的原因是风险承担;下行风险的超额收益在股市不同时期具有不同特征,表明投资者在股市发生极端负收益时较其他下行时期风险偏好程度更大,而在股市上行期间则转变为风险厌恶。最后,机构投资者的广义失望厌恶程度更高,其在股市上行时期要求更高的下行风险溢价,在股市下行时期变得风险追逐;而散户占比最高的资产中,各时期下行风险溢价均为负,投资者各时期均表现出一定程度的风险偏好。

In the stock marketdue to overconfidence or other subjective factors,decisions made by investors do not follow the completelyrationalhypothesis.Whether it is the 2008 financial crisis or the 2015 A-share market crash,there are traces of investor behavior such as herding effect or fire sales.At present,the research on inves⁃tor preference in the A-share market mainly focuses on the theoretical model level.Few literatures are based on the theoretical model of investor preference to study the downside risks of the A-share market from an empirical perspective.At the same time,existing studies often only start from the full sample,ignoring the inconsistency of downside risks in differentstockmarketperiods.For the above reasons,based on the generalized disappoint⁃ment aversion factor model proposed by Adam and Roméo(2018),the relationship between the downside risk and the expected return in Chinese stock market is studied.In the empirical test,the monthly stock data of all stocks in the A-share market from January 2002 to June 2019 are selected for a total of 210 months for research.With reference to the methods of Fama and French,25 investment portfolios in 4 categories including scale and book-to-market value ratio,scale and momentum ranking,scale and investment ranking,and scale and profit⁃ability ranking are constructed,verifying the robustness of the downside factors after controlling for the above factors.Subsequently,in view of the differences in risk premiums at different market stages,the performance of each factor in stages is also examined,and it is found that investors with generalized disappointment aversion behavior would have an impact on the risk appetite of the market.Finally,considering that the behavior of institutional investors will also affect the formation of stock market bubbles and extreme risks,the impact of institutional investors on the downside risk premium is also examined.Through empirical research,it is found that:(1)generalized disappointment aversion and stock market downside factors can explain the expected return of assets.Chinese stock market investors have typical generalized disappointment aversion behavior,and volatil⁃ity is less effective in explaining returnin Chinese stock markets.(2)With sub-testing,it is also found that the reason behind the excess return ofdownside factor is risk-taking;the excess return of downside risk has different characteristics in different periods of the stock market,indicating that investors havegreaterdegree of risk appetitewhen extreme negative returns occur in the stock marketthan other stocks market periods.During the stock market upside period,investors turn to be risk aversion.(3)Institutional investors have a higher degree of general disappointment aversion.They require a higher downside risk premium during the stock market up period,and become risk chasing during the down period of the stock market;The assets with the highest proportion of retail investors have negative downside risk premiums in all periods,and investors have shown risk chasing in all periods.