摘要
行为金融理论认为投资者具有损失厌恶特征,面对损失时,投资者表现出风险喜好,而面对盈利又会变得风险厌恶。而计算实验金融模型研究表明:损失厌恶投资者的存在不仅能够提高市场收益,减弱市场波动,还能有效降低价格与基础价值的偏离程度,从而提高市场质量。因此,深入研究投资者的损失厌恶特征在金融市场中的作用机理对于市场监管、资产定价和风险管理具有重要的理论和实践意义。
It was revealed in Behavioral Finance Theory that investors are characterized by loss aversion, and understanding the mechanism of the effects on finance market is important for market scrutiny, asset pricing and risk management. With the application of the method of Agent-based Computational Finance （ACF）, it is concluded that the presence of investors＇ loss aversion could increase market return, weaken market volatility, reduce price departure degree from fundamental value, and ultimately improve market quality.
出处
《西南交通大学学报（社会科学版）》
CSSCI
2011年第5期68-72,共5页
Journal of Southwest Jiaotong University(Social Sciences)
基金
国家自然科学基金项目(71001077)
关键词
损失厌恶
金融市场
计算实验金融学
行为金融理论
风险偏好
市场质量
loss aversion
finance market
Agent-based Computational Finance
Behavioral Finance Theory
risk preference
market quality
