行为金融:认知风险与认知期望收益

中国管理科学 ›› 2005, Vol. ›› Issue (3): 15-19.

行为金融:认知风险与认知期望收益

杨春鹏¹, 吴冲锋², 陈敏³

1. 青岛大学金融学院, 青岛, 266071;
2. 上海交通大学管理学院金融工程中心, 上海, 200052;
3. 中国科学院金融工程与金融管理研究中心, 北京, 100080

收稿日期:2004-11-08 修回日期:2005-04-05 出版日期:2005-06-28 发布日期:2012-03-07
基金资助:
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)

Behavioral Finance:Perceived Risk and Perceived Expected Return

YANG Chun-peng¹, WU Chong-feng², CHEN min³

1. School of Management Shanghai Jiaotong University, Shanghai 200052, China;
2. Finance Engineering & Risk Management Center Chinese Academic Science, Beijing 100080, China

Received:2004-11-08 Revised:2005-04-05 Online:2005-06-28 Published:2012-03-07

摘要/Abstract

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。

关键词: 行为金融, 认知风险, 认知期望收益

Abstract: 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).

Key words: behavioral finance, perceived risk, perceived expected return

中图分类号:

F830
C931

杨春鹏, 吴冲锋, 陈敏. 行为金融:认知风险与认知期望收益[J]. 中国管理科学, 2005, (3): 15-19.

YANG Chun-peng, WU Chong-feng, CHEN min. Behavioral Finance:Perceived Risk and Perceived Expected Return[J]. Chinese Journal of Management Science, 2005, (3): 15-19.

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