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本文构建基于CCAPM的风险偏好度量模型,以2000-2012年AB股上市公司为样本分析了制度环境和投资者结构对于市场风险偏好水平的影响。研究发现:2006年之前,A股市场风险偏好过高,但呈现逐年下降趋势;B股市场风险偏好总体低于A股,在2005年之后略有升高。机构投资者的发展有利于降低A股市场风险偏好,但没有充分证据支持以股权分置改革为代表的制度性变革令市场风险回报发生了实质性改变。
This paper constructs a CCAPM-based risk appetite measurement model and analyzes the influence of institutional environment and investor structure on the market risk preference level from 2000 to 2012 AB-listed companies. The study finds that before 2006, the risk appetite of A-share market is too high, but it shows a declining trend year by year. The risk appetite of B-share market is generally lower than that of A-share, and rises slightly after 2005. The development of institutional investors is conducive to reducing the risk appetite of the A-share market, but there is not sufficient evidence to support the institutional changes represented by the non-tradable share reform as a result of which the market risk return has substantially changed.