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 analysis framework of the consumer capital asset pricing model based on the rank-dependent utility function, the paper introduces the Prelec probability weight function to complete the correction of the relative risk aversion coefficient of the investors in five different ups and downs of the A-share market in mainland China. From the analysis of the actual transaction data Verify the appropriateness of RDUT-CCAPM theoretical framework. Particularly noteworthy is that as investors generally have the tendency to exaggerate “small probability events” - “small probability events” in the utility function rank (RANK) is artificially raised, so for the Taiwan stock market investors Empirical calibration of risk appetite is equally successful. Therefore, although the securities markets in mainland China and Taiwan are quite different in many aspects such as the degree of opening up, the trading mechanism, the governance level of listed companies, government regulation and the establishment of a multi-level market system, due to the same root of culture The similarities between the psychology and decision-making behavior of investors on both sides of the stock market are obvious.