<?xml version="1.1" encoding="utf-8"?>
<article xsi:noNamespaceSchemaLocation="http://jats.nlm.nih.gov/publishing/1.1/xsd/JATS-journalpublishing1-mathml3.xsd" dtd-version="1.1" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"><front><journal-meta><journal-id journal-id-type="publisher-id">SE</journal-id><journal-title-group><journal-title>Society and Economy</journal-title></journal-title-group><issn>2995-4959</issn><eissn>2995-4975</eissn><publisher><publisher-name>Art and Design</publisher-name></publisher></journal-meta><article-meta><article-id pub-id-type="doi">10.61369/SE.9793</article-id><article-categories><subj-group subj-group-type="heading"><subject>Article</subject></subj-group></article-categories><title>资本利得突出量和风险偏好—— 基于A 股市场的实证研究</title><url>https://artdesignp.com/journal/SE/2/8/10.61369/SE.9793</url><author>王雨诗</author><pub-date pub-type="publication-year"><year>2024</year></pub-date><volume>2</volume><issue>8</issue><history><date date-type="pub"><published-time>2024-08-20</published-time></date></history><abstract>本文在前景理论的处置效应框架下，从资本利得突出量这一行为金融学指标出发，研究发现A 股市场存在处置效应，投资者风险偏好在参考价格点处发生突变，当账面浮盈时处于风险厌恶，当账面浮亏时处于风险偏好。同时，本文修改资本利得突出量CGO 的计算方法，选用日度高频数据，并缩短往期交易数据时间段，得到了更适用于A 股投资者特征的参考价格计算方法。</abstract><keywords>前景理论,处置效应,资本利得突出量,风险偏好</keywords></article-meta></front><body/><back><ref-list><ref id="B1" content-type="article"><label>1</label><element-citation publication-type="journal"><p>[1]Sharpe W F. Capital asset prices: a theory of market equilibrium under conditions of risk［J］．Journal of Finance, 1964, 19(3):425-442.[2]Baker M., Bradley B., &amp;amp; Wurgler J. Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly［J］．Financial Analysts Journal,2011, 67(1):40-54.[3]Kahneman D.&amp;amp; Tversky A. Prospect theory: An analysis of decision under risk［J］．Econometrica,1979, 47(2):263-291.[4]Shefrin H, Statman M .The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence［J］．Journal of Finance, 1985, 40(3):777-790.[5]Odean T. Are Investors Reluctant to Realize Their Losses［J］? Journal of Finance, 1998,53(5):1775-1798.[6]Grinblatt M, Han B .Prospect Theory, Mental Accounting, and Momentum［J］．Social Science Electronic Publishing, 2005, 78(2):311-339.[7]Wang H., Yan J. &amp;amp; Yu J. Reference-dependent preferences and the risk&amp;ndash;return trade-off［J］．Journal of Financial Economics, 2017,123(2):395-414.[8] 赵学军， 王永宏． 中国股市&amp;ldquo; 处置效应&amp;rdquo; 的实证分析［J］． 金融研究，2001,(07):92-97.[9] 王志强， 苏刚， 张泽．投资者特征与处置效应&amp;mdash;&amp;mdash; 来自中国A 股融资交易的证据［J］．财经问题研究，2016,(11):30-38.[10] 陆蓉，李金龙，陈实．中国投资者的股票出售行为画像&amp;mdash;&amp;mdash; 处置效应研究新进展［J］．管理世界，2022,38(03):59-78.</p><pub-id pub-id-type="doi"/></element-citation></ref></ref-list></back></article>
