期望理论及价值函数的实证研究  

Empirical research on prospect theory and cost function

作　　者：王敬[1] 张莹[1] 李延喜[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《大连理工大学学报（社会科学版）》2006年第2期37-41,共5页Journal of Dalian University of Technology(Social Sciences)

基　　金：国家自然科学基金资助项目(70302008)

摘　　要：价值判断是金融学研究的核心内容,行为金融学的崛起使得价值判断依据由原来的预期效用理论转变为期望理论。本文运用我国股市数据对期望理论进行了实证检验,发现我国股民心理符合期望理论。根据价值函数的特征建立价值函数方程,运用股票市场数据估计出价值函数的精确表达形式,为资产价值的判断提供了量化的理论依据。Valuation is the core of study on finance.The development of Behavioral Finance has changed the valuation rule from expected utility theory to prospect theory. The paper carries on an empirical analysis on prospect theory based on the data from China's stock markets and discovers that investing psychology of Chinese shareholders accords with prospect theory.It also builds up cost function equation,and estimates the accurate expression form of cost function based on the data from the stock market,which will provide a quantitative theoretical rule for the asset valuation.

关 键 词：期望理论 价值函数 损失厌恶 行为金融学 

分 类 号：F830.91[经济管理—金融学]