Investors’ Risk Preference Characteristics and Conditional Skewness
Joint Authors
He, Zhifang
Wen, Fenghua
Chen, Xiaohong
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-01-16
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
Perspective on behavioral finance, we take a new look at the characteristics of investors’ risk preference, building the D-GARCH-M model, DR-GARCH-M model, and GARCHC-M model to investigate their changes with states of gain and loss and values of return together with other time-varying characteristics of investors’ risk preference.
Based on a full description of risk preference characteristic, we develop a GARCHCS-M model to study its effect on the return skewness.
The top ten market value stock composite indexes from Global Stock Exchange in 2012 are adopted to make the empirical analysis.
The results show that investors are risk aversion when they gain and risk seeking when they lose, which effectively explains the inconsistent risk-return relationship.
Moreover, the degree of risk aversion rises with the increasing gain and that of risk seeking improves with the increasing losses.
Meanwhile, we find that investors’ inherent risk preference in most countries displays risk seeking, and their current risk preference is influenced by last period’s risk preference and disturbances.
At last, investors’ risk preferences affect the conditional skewness; specifically, their risk aversion makes return skewness reduce, while risk seeking makes the skewness increase.
American Psychological Association (APA)
Wen, Fenghua& He, Zhifang& Chen, Xiaohong. 2014. Investors’ Risk Preference Characteristics and Conditional Skewness. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-14.
https://search.emarefa.net/detail/BIM-500260
Modern Language Association (MLA)
Wen, Fenghua…[et al.]. Investors’ Risk Preference Characteristics and Conditional Skewness. Mathematical Problems in Engineering No. 2014 (2014), pp.1-14.
https://search.emarefa.net/detail/BIM-500260
American Medical Association (AMA)
Wen, Fenghua& He, Zhifang& Chen, Xiaohong. Investors’ Risk Preference Characteristics and Conditional Skewness. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-14.
https://search.emarefa.net/detail/BIM-500260
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-500260