等级依赖效用函数下相对风险厌恶系数的校正:源自中国大陆和台湾地区的证据  

The Calibration of Relative Risk Aversion Coefficient under the Rank-Dependent Utility: Evidence from China's Mainland and Taiwan

作　　者：李巍[1] 

机构地区：[1]华东师范大学商学院,200062

出　　处：《上海经济研究》2013年第11期32-46,共15页Shanghai Journal of Economics

基　　金：教育部人文社科规划后期项目(11JHQ032);国家自然科学基金项目(批准号:70873041);上海市教委科研创新项目(11ZS42)的资助

摘　　要：文章基于等级依赖效用函数下消费资本资产定价模型的分析框架,引入Prelec概率权重函数,完成了大陆A股市场5个不同涨跌周期投资者相对风险厌恶系数的校正,从实际交易数据的分析出发验证了RDUT-CCAPM理论架构的合宜性。尤其值得关注的是,由于投资者普遍具有夸大"小概率事件"的倾向——"小概率事件"在效用函数中的等级(RANK)被人为提升,所以针对台湾股票市场投资者风险偏好行为的经验校准也同样成功。职是之故,虽然中国大陆与台湾的证券市场在开放程度、交易机制、上市公司的治理水平、政府监管以及构建多层次市场体系等诸多方面均存在较大差异,但由于文化的同根同源,两岸股市投资者心态和决策行为的相似性十分明显。Based on the analytical framework of the CCAPM under the rank-dependent utility, the Prelec＇s probability weighting function is introduced to calibrate the coefficient of relative risk aversion in five different cycles of A-share market of China's Mainland, which verifies the suitability of the related theoretical framework from the respect of actual data. It is particularly notable that the investors generally have the tendency of exaggerating ＂small probability event＂, whose rank is artificially lifted in the utility function. Taking consideration of the Taiwan stock market, the calibration of investor behavior related to the risk preference is successful as well. Therefore, no matter how different the market openness, trading mechanism, the governance of listed companies, macroeconomic regulation and the building of a multi- level market system etc. between China's Mainland and Taiwan is, the investor mentality and their decision-making behavior on the stock markets is obviously similar, because people from both sides of the Straits share the homology of primitive culture.

关 键 词：相对风险厌恶系数 等级依赖效用函数 CCAPM Prelec概率权重函数 中国A股市场 

分 类 号：F831.5[经济管理—金融学]