从股票市场整体出发,研究投资者当期损益结果和前期损益结果对风险偏好的影响,以考察投资者风险偏好的动态特征.主要将GARCH-M模型中的风险补偿系数拓展为随投资者的损益结果发生变化,考察不同时期下投资者的损益状态和损益大小对风险偏好的影响.实证结果表明:投资者在当期收益状态下是风险规避的,在当期损失状态下是风险寻求的;而在前期损失状态下是风险规避的,并且不受前期收益状态的影响.同时,投资者的风险偏好还受不同时期损益大小的影响,其风险规避程度与当期收益大小成正比,风险寻求程度与当期损失大小成正比;对于前期损益大小,其风险规避程度与前期损失大小成正比,并且其风险偏好也不受前期收益大小的影响.

Taking the stock market as a whole object, this paper studies the different effects of the contemporaneous outcome and prior outcome of investments on investors' risk preference to explore their dynamic characteristics. Specifically, the fixed risk compensation coefficient in GARCH-M model is expanded to change with investor outcomes (gain/loss), and the impact of the investors' gain/loss state and magnitude on risk preference at different period are investigated. The empirical evidence shows that investors are risk aversion with the current gain status and risk seeking with the current loss status. However, for the prior status of losses, they become risk aversion, but their risk preferences are not sensitive to the prior status of gains. At the same time, investors' risk preferences are influenced by the size of gains and losses with different periods. The degree of investors' risk aversion is directly proportional to the size of current gains and that of risk seeking is directly proportional to the size of current losses. But for prior losses, investors' risk aversion is directly proportional to the size of loss, and their risk preference is also not affected by the size of prior gains.