风险态度与股票投资

3:200715,,,:,:,;:,,:3,,:100081,:[e-mail];,,:100872,:[e-mail](),(70703037),2007,2090,1990101991319921048200715508432327141:2007,9280159,5568,12%4%(,2008),?,(,2007),,(HaliassosandBertaut,1995;PoterbaandSamwick,1997;RosenandWu,2004;Vissing2Jorgensen,2002);(Vissing2Jorgensen,2002;Constantinidesetal1,2002);,(GuisoandPaiella,2007;Guisoetal1,2007;PuriandRobinson,2005);,(Guisoetal1,2007;Hongetal12004)65:,,,,,,,,(Gollier,2001),,Hongetal1(2004)GuisoandPaiella(2007)Guisoetal.(2007),?GuisoandPaiella(2007)Guisoetal.(2007),(2007),,,:?,?200715,,,,Hogg(2000)BergerandCalabrese(1975),,,,,(HeathandBryant,2000),,,,,:,,,:,;,,,,,,,7520092,,,,,(GuisoandPaiella,2007)(Hongetal.2004),,,,200778151355,,818,185,1152,()Guisoetal.(2007),:,100(5050),,2500;,?,(1250)2007(9997)1215%,,,,,(Arrow,1970),,GuisoandPaiella(2007),Arrow2Pratti()Wi,ui(),Pii,Pi(25002Zi)2Zi,Zi,50%,:ui(Wi)=015ui(Wi+25002Zi)+015ui(Wi2Zi)=E(ui(Wi+Pi))(1),E()(1)Wi,:Eui(Wi+Pi)ui(Wi)+ui(Wi)E(Pi)+015ui(Wi)E(Pi)2(2)85:2005,(2007)(2007)Hongetal.(2004),,,(2)(1),iRi(Wi):Ri(Wi)=-ui(Wi)Pui(Wi)=2E(Pi)PE(P2i)=(250022Zi)P(312500022500Zi+Z2i)(3)GuisoandPaiella(2007),Ri(Wi):,;,,;,,Guisoetal1(2007),Arrow2Pratt,,469:,(KagelandRoth,1995),,,GuisoandPaiella(2007),Guisoetal1(2007),,,()HalliassosandBertaut(1995),,stock-d,,1,0,Hongetal1(2004),knowing-neighbor-d,1,0,:age,,,age-sq;male,1,0;schooling-year;married,1,0;health,15,:month-own-income();,,month-own-income-sq;assets(),debts();financial-constraint,15,9520092,(GuisoandPaiella,2007):invest-optimism,,,,15,;invest-pessimism,,,,15,:trust-people,,15,;mean-othertrust,,(),,1860()1,,32%,,60%34,60%,13(),58%,;3200;34172,4163;,;,;,,,,,206:20061011(2007)32%,(2008)200712%,,,:,,017(Lindetal,2002),1stock-d01320014654011056ara010007010008010003-0100080100081056knowing-neighbor-d016010149011046age3412432910518801056age-sq1254128102470719532464001056male016010149011064schooling-year131131421720181076married015810149011084health119120175151064month-own-income0132012501600131075month-own-income-sq01460106610901691075assets341721919855195010571056debts416301414502151056liquidity-constraint313830192151061invest-optimism313631250161151072invest-pessimism311431200165151076trust-people311730177151076mean-othertrust3118301631510652,,a1a21:50%1P332101%16198%50%(=1084)(=1084)a1=a2:t=8125183332:50%46159%27140%50%1P2(=1084)(=1084)a1=a2:t=9143693333:50%57160%34181%50%1P3(=1083)(=1083)a1=a2:t=10192773334:50%60100%46191%50%1P5(=1083)(=1083)a1=a2:t=611616333,123450%1P3100%100%100%,50%100%1P21P31P5:,50%16200923probit:stock-d(1)(2)(3)ara10214077105154429212544(0154)(0155)(0148)knowing-neighbor-d01056433010543333010536333(2122)(2161)(2165)age010703301076830107643(1179)(1192)(1189)age-sq-010006-0100063-0100063(-1163)(-1178)(-1174)male012119330121053301203533(2111)(2108)(2101)schooling-year010708330107253301071833(2149)(2152)(2148)married-010282-010215-010342(-0123)(-0117)(-0128)health-01056-010539-010569(-1111)(-1108)(-1112)month-own-income01441633014426330142933(1196)(1198)(1193)month-own-income-sq-01041133-01041933-01041933(-2133)(-2138)(-2140)assets010106333010109333010109333(4108)(4112)(4104)debts0100201001801002(0154)(0147)(0151)financial-constraint-011692333-011693333-011652333(-2179)(-2179)(-2165)trust-people-011009-011113(-1143)(-1156)mean-othertrust01131011165(1143)(1125)invest-optimism011191(1120)invest-pessimism-010166(-0119)-218777333-311458333-313945333(-3119)(-3121)(-3120)873862851PseudoR2012290012304012298:3333331%5%10%z,50%:(1),?(2),?14,2P35P44P37P52,,,,,,,,,2,,()11?,3,,26:stock-d,probit(2007),(1),,Hongetal.(2004)GuisoandPaiella(2007)Guisoetal.(2007),,,,:(Hongetal1,2004);,(Vissing2Jorgensen,2002);,(Vissing2Jorgensen,2002);,(Constantinidesetal1,2002);,;(,2007);(Guisoetal.,2007)(1),(2),,(1),U,,64(2007),(2)(3)(2),,3,,:,,3620092,54000,54000,,,,,,logitprobit18603,()?,,,:,,,0110,(2007),,(Allison,1999),Williams(2006),3,4,,,,4knowing-neighbor-d=0knowing-neighbor-d=1ara(1)ara-6291216333-28157443338310354013498z=210833(-2107)(1125)(2)ara-595194533-2711088337814313010001z=210833(-1195)(1123)(3)ara-531136673-2215728337311624017173z=211033(-1171)(1120):3335%10%z,z,Williams(2006),StataOGLM,,4,(1),,,,,;(010003),0186%,,,:,,,,:,,46:Stataoglm(,2007),,,,:,,;,U,65(2)(3)(1),,;(010003),0181%0168%4:,,,,(),,(2007),,,,,,14,,34,:,:,,;(),,;,,,,,,?2007151355,,,56200922006,2007:,,,:,,:,,;,,,,,,,,,,,,,,,2007:,8,2007:,,2,2008:,Allison,P1,1999,ComparingLogitandProbitCoefficientsacrossGroups,SociologicalMethodsandResearch,28,pp.186208.Arrow,K.J.,1970,EssaysintheTheoryofRiskBearing,Amsterdam:NorthHolland.Berger,C.E.,andR.J.Calabrese,1975,SomeExplorationsinInitialInteractionandBeyond:TowardaDevelopmentalTheoryofInterpersonalCommunication,HumanCommunicationResearch,1,pp.99112.Constantinides,G.M.,J.B.Donaldson,andR.Mehra,2002,JuniorCantBorrow:ANewPerspectiveontheEquityPremiumPuzzle,QuarterlyJournalofEconomics,117,pp.269296.Gollier,C.,2001,WhatDoestheClassicalTheoryHavetoSayaboutPortfolioChoice?,inHouseholdPortfolios,L.Guiso,M.HaliassosandT.Jappelli,eds.,Boston