结构性产品投资者感知风险与过度自信影响研究  

Perceived risk and overconfidence of structured financial products investors

作　　者：王宗润[1] 陈曦[1] 邓松海[2] WANG Zong-run1, CHEN Xi1 , DENG Song-hai2(1. Business School of Central South University, Changsha 410083, China; 2. School of Mathematics and Statistics of Central South University, Changsha 410083, Chin)

机构地区：[1]中南大学商学院,长沙410083 [2]中南大学数学与统计学院,长沙410083

出　　处：《管理科学学报》2018年第3期82-93,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金重点资助项目(71631008);国家自然科学基金面上资助项目(71371194)

摘　　要：在梳理感知风险文献的基础上,依据标准风险测度理论对结构性理财产品的感知风险进行量化,进而从微观层面构建个人投资者结构性理财产品风险感知与决策模型.同时,在模型中尝试引入过度自信这一心理偏差来探究其对投资者感知风险的作用机制.研究表明,过度自信投资者更相信私人信号,低估私人信号中噪声的方差,进而影响其对结构性理财产品标的资产到期价格分布的估计,过度自信可导致投资者高估结构性产品获得较好情境收益的概率,并随着过度自信程度的增加高估概率程度加剧,最终导致投资者感知风险降低.This paper quantifies the risk of structured financial products by the perceived risk measures based on the standard measures of risk, and then constructs risk perception and decision making models of individual investors for structured products. Moreover, the psychological bias of overconfidence is introduced to explore the mechanism how the bias affects investors＇ perceived risk. The paper finds that overconfident investors believe in private signals and underestimate the variance of noise in private signals, which affects their expectation of the underlying asset price of structured financial products. Then the overconfidence bias leads investors to overestimate the probability of getting a better return. With the increase of overconfidence, the overvaluation of the probability is intensified, which eventually leads to lower perceived risk.

关 键 词：感知风险 过度自信 预期 结构性理财产品 

分 类 号：F832.48[经济管理—金融学] B842.1[哲学宗教—基础心理学]