A Study On The Risk Preference And Asset Choice Of China's Individual Investors

The work of researching on the relationship between risk preference and asset choice, has become an important part of that on asset pricing in the last 20 years. The work has great theoretical value to exploitations of financial products, management of financial institutions, studies of macroeconomics and policy. This dissertation studied the influence of risk preference on asset choice, and designed the theoretical and empirical model of asset pricing. The dissertation mainly contains: 1 .introduction of the current situation of studies on this problem in China. 2.an empirical study on equity premium in China. 3. an analysis of the condition of mental and risk preference of individual investors in China, 4.an international comparison of asset choice of individual investors. 5.introduction of two types of asset pricing models based on risk preference and comparing them. 6.setting up a new asset pricing model suiting Chinese reality and carrying out an empirical test on it.The results of the study show: Firstly, China's individual investors prefer more safe assets to risky assets than individual investors of developed countries, the consumption preference is low, and the level of financial asset securitization is also low. Secondly, the coefficient of risk aversion is possibly some low, the subjective discount factor is some high, the factor of social status is in the middle level, and the elasticity of intertemporal substitution is some low. The individual investors in China have not showed apparent risk aversion in the cross-section risk preference, so we should not agree with the opinion that the China's individual investors consume less and invest less in risky assets because of being afraid of risk. Thirdly, At present, if the China's individual investors pay more attention on social status, the consumption will not increase but decrease. Fourthly, using martingale method more widely in theoretical and applied studies is a better way to study the problem of risk preference and asset choice in China's individual investors. Flexibility of martingale method in analysis of asset pricing and programming designing makes it favorable applied prospect in theoretical studies and practical operating. Fifthly, after the emotion factor enters into the continuous-time dynamic asset choice model, the model can explain more reasonably the survivor problem of non-rational investors in macroeconomics and stock market, the mutual infection of investors' emotion, and the relationship between...