摘要
在行为金融的框架下,本文建立了含有过度自信心理的认知风险度量模型和含有过度自信心理的认知期望收益模型,研究了认知风险与认知期望收益的相互关系,研究结果表明:认知风险与认知期望收益的相互关系与标准金融理论中风险与收益的正相关关系相反,认知风险与认知期望收益呈现负相关关系。本文的研究结果对Shefrin(2001)通过金融实验得出的认知风险与认知期望收益为负相关关系的结论,给出了一种有效的理论解释。
<Abstrcat> Under the frame of behavioral finance,this article established a model of perceived risk and a model of perceived expected return based on investor psychology in which over-confidence was taken into consideration,and further studied the relationship between perceived risk and perceived expected return.We showed that the negative correlation between perceived risk and perceived expected return which is contrary to the results in the standard finance theory.Through financial experiments,Shefrin(2001) found it is negatively correlated between perceived risk and perceived expected return.This article gave an effective explanation to the research of Shefrin(2001).
出处
《中国管理科学》
CSSCI
2005年第3期15-19,共5页
Chinese Journal of Management Science
基金
国家杰出青年基金资助项目(700250303)
国家基金委全新群体资助项目(70221001)
国家基金委基金重点资助项目(70331001)
关键词
行为金融
认知风险
认知期望收益
behavioral finance
perceived risk
perceived expected return
