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Investors’ Risk Preference Characteristics Based on Different Reference Point
Joint Authors
Liu, Aiming
He, Zhifang
Wen, Fenghua
Gong, Xu
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-09
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Taking the stock market as a whole object, we assume that prior losses and gains are two different factors that can influence risk preference separately.
The two factors are introduced as separate explanatory variables into the time-varying GARCH-M (TVRA-GARCH-M) model.
Then, we redefine prior losses and gains by selecting different reference point to study investors’ time-varying risk preference.
The empirical evidence shows that investors’ risk preference is time varying and is influenced by previous outcomes; the stock market as a whole exhibits house money effect; that is, prior gains can decrease investors’ risk aversion while prior losses increase their risk aversion.
Besides, different reference points selected by investors will cause different valuation of prior losses and gains, thus affecting investors’ risk preference.
American Psychological Association (APA)
Wen, Fenghua& He, Zhifang& Gong, Xu& Liu, Aiming. 2014. Investors’ Risk Preference Characteristics Based on Different Reference Point. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-450471
Modern Language Association (MLA)
Wen, Fenghua…[et al.]. Investors’ Risk Preference Characteristics Based on Different Reference Point. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-450471
American Medical Association (AMA)
Wen, Fenghua& He, Zhifang& Gong, Xu& Liu, Aiming. Investors’ Risk Preference Characteristics Based on Different Reference Point. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-450471
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-450471