我国股市投资者风险偏好水平变迁——基于AB股的经验证据  

Risk Appetite Changes in China's Stock Market——Evidence from AB-share Companies

作　　者：徐虹玉[1] 

机构地区：[1]西南财经大学会计学院

出　　处：《投资研究》2014年第3期145-154,共10页Review of Investment Studies

摘　　要：本文构建基于CCAPM的风险偏好度量模型,以2000-2012年AB股上市公司为样本分析了制度环境和投资者结构对于市场风险偏好水平的影响。研究发现:2006年之前,A股市场风险偏好过高,但呈现逐年下降趋势;B股市场风险偏好总体低于A股,在2005年之后略有升高。机构投资者的发展有利于降低A股市场风险偏好,但没有充分证据支持以股权分置改革为代表的制度性变革令市场风险回报发生了实质性改变。This paper proposes an empirical method based on CCAPM to investigate how institutional changes and investor structure influence risk appetite on AB-share markets from 2000-2012. The research finds that on the A-share market there＇s a high but gradually decreased risk appetite before the year 2006, meanwhile the risk appetite level on B-share market is relatively lower but has increased a bit since 2005; The development of institutional investors after 2005 decreases risk appetite on A-share market and the evidence is still insufficient to prove that the institutional environment changes represented by the split share structure reform have substantive influences on risk appetite level.

关 键 词：风险偏好 风险厌恶 机构投资者 股改 

分 类 号：F224[经济管理—国民经济] F832.51