我国证券市场风险收益特征的行为基础

我国证券市场的风险收益具有以下特征:(1)资本资产定价模型所揭示的风险收益关系在我国股市并不显著。(2)我国证券市场系统性风险占整体风险的比例较高。(3)从趋势上看,无论个股还是行业系统性风险占整体风险的指标没有明显的下降趋势。这些特征根源于我国特定的投资者结构以及不同投资者的风险厌恶特性和对私人信息的偏好特性。因此,投资者应针对上述特征,在集中投资、反向交易和降低交易频率等方面调整交易策略,提高投资收益率。

BEHAVIOR FOUNDATIONS OF THE RISK PREMIUMS IN OUR SECURITIES MARKET

The risk premiums in our securities market have characteristics as such: (1) not notably consistent with the assets-pricing models; (2) higher proportions of systematic risks; (3) without observably decreasing tendency of the systematic risks. The sources of all these are our special structures of investors, risk-averse natures of investors, and private-information preferences. So, in order to get high P/E ratio, investors should adjust strategies when concentrating investments, reversing exchanges, and decreasing exchange frequen- cies.