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传统金融学理论建立于风险厌恶假设之上,然而这一假设越来越难以解释金融市场中的异象。利用我国股票型开放式基金的申购赎回数据,对比研究我国机构投资者与个人投资者在不同市场环境下的风险态度。结果发现,机构投资者在牛市中偏好高收益,对风险不敏感,表现为风险中性,而在熊市中却对收益风险均不敏感;个人投资者在牛市中追求高收益高风险,表现为风险寻求,在熊市中却表现出“处置效应”与风险偏好共存的特点。
Traditional financial theory builds on the assumption of risk aversion, yet it is increasingly difficult to explain the vision in financial markets. The use of China’s stock open-end fund subscription redemption data, comparative study of institutional investors and individual investors in China under different market conditions risk attitude. The results showed that institutional investors prefer high returns in the bull market to risk-insensitivity, which is risk-neutral, while in the bear market, they are not sensitive to the yield risk. Individual investors are pursuing high-yield and high-risk in the bull market, Risk seeking, but in the bear market has shown “disposal effect ” and risk appetite coexist characteristics.