|
|
|
| Risk Attitudes and Household Wealth: A Further Discussion Based on China Micro Survey |
| ZHANG Linwan, WU Weixing
|
Research Center of Applied Finance/School of Banking and Finance, University of International Business and Economics;
School of Finance,Capital University of Economics and Business |
|
|
|
|
Abstract With the capital market growing fast and risky returns fluctuating remarkably, research on the function of wealth on risk attitudes has great implications for the study of household portfolio allocations and related policy making. This paper for the first time builds a system of indicators of absolute and relative risk attitudes to analyze the empirical relation between the risk preferences of Chinese households and wealth, using representative survey data. It shows that absolute risk aversion decreases with wealth, while relative risk aversion increases, rejecting typically assumptions of CARA and CRRA in economic modeling. Moreover, we find that controlling background risk will make the effect of wealth on risk attitudes no longer significant, which implies that background risk performs as the intermediate that wealth affects risk attitudes. Changes of wealth make a difference in background risk levels and risk tolerance, as well as asset allocation, which means that policies smoothing economy will contribute to encouraging financial market participation.
|
|
Received: 20 October 2015
Published: 01 January 1900
|
|
|
|
|
| [1] |
陈彦斌和徐绪松,2005,《财富偏好、习惯形成与股票溢价之谜》,《统计与决策》第24期,95~97页。<br />
|
| [2] |
何兴强、史卫和周开国,2009,《背景风险与居民风险金融资产投资》,《经济研究》第12期,第119~130页。<br />
|
| [3] |
李涛和郭杰,2009,《风险态度与股票投资》,《经济研究》第2期,第56~67页。<br />
|
| [4] |
马莉莉和李泉,2011,《中国投资者的风险偏好》,《统计研究》第8期,第63~72页。<br />
|
| [5] |
谢识予、孙碧波、朱弘鑫、筒井义郎、秦劼和万军民,2007,《两次风险态度实验研究及其比较分析》,《金融研究》第11期,第57~66页。<br />
|
| [6] |
王晟和蔡明超,2011,《中国居民风险厌恶系数测定及影响因素分析——基于中国居民投资行为数据的实证研究》,《金融研究》第8期,第192~206页。<br />
|
| [7] |
吴卫星和齐天翔,2007,《流动性、生命周期与投资组合相异性——中国投资者行为调查实证分析》,《经济研究》第2期,第97~110页。<br />
|
| [8] |
吴卫星和张琳琬,2015,《家庭收入结构与财富分布:基于中国居民家庭微观调查的实证分析》,《东北师大学报(哲学社会科学版)》第1期,第62~69页。<br />
|
| [9] |
吴卫星、丘艳春和张琳琬,2015,《中国居民家庭投资组合有效性:基于夏普率的研究》,《世界经济》第1期,第154~172页。<br />
|
| [10] |
Arrow, K. J. , 1965,Aspects of the Theory of Risk-bearing. Yrjö Jahnssonin Säätiö.<br />
|
| [11] |
Arrow, K. J., 1970,Essays in the Theory of Risk-bearing. North Holland.<br />
|
| [12] |
Bardhan, P., Bowles, S., and Gintis, H., 2000, “Wealth Inequality, Wealth Constraints and Economic Performance”, In B. A. Anthony & B. Franc,ois(Eds.), <i>Handbook of Income Distribution,</i>Vol.1, 541~603.<br />
|
| [13] |
Carroll, C. D., and Kimball, M. S., 1996, “On the Concavity of the Consumption Function”, <i>Econometrica: Journal of the Econometric Society, 981~992.</i><br />
|
| [14] |
Dohmen, T., Falk, A., Huffman, D., Sunde, U., Schupp, J., & Wagner, G. G., 2011, “Individual Risk Attitudes: Measurement, Determinants, and Behavioral Consequences”,<i>Journal of the European Economic Association, 9(3): 522~550.</i><br />
|
| [15] |
Eeckhoudt, L., Gollier, C., andSchlesinger, H., 1996, “Changes in Background Risk and Risk Taking Behavior”,<i>Econometrica: Journal of the Econometric Society, 683~689.</i><br />
|
| [16] |
Fisher, I., 1930,The Theory of Interest. Macmillan, New York.<br />
|
| [17] |
Friedman, M., 1957, A Theory of the Consumption, Princeton, NJ: princeton university press.<br />
|
| [18] |
Friend, I., and Blume, M. E., 1975. “The Demand for Risky Assets”, <i>The American Economic Review, 900~922.</i><br />
|
| [19] |
Gollier, C., 2001, “Wealth Inequality and Asset Pricing”,<i>The Review of Economic Studies, 68(1): 181~203.</i><br />
|
| [20] |
Gollier, C., and Pratt, J., 1996, “Risk Vulnerability and the Tempering Effect of Background Risk”,<i>Econometrica: Journal of the Econometric Society, 1109~1123.</i><br />
|
| [21] |
Gordon, M., Paradis, G., and Rorke, C., 1972, “Experimental Evidence on Alternative Portfolio Decision Rules”, <i>American Economic Review, 62: 107~118.</i><br />
|
| [22] |
Guiso, L., andPaiella, M., 2008, “Risk Aversion, Wealth, and Background Risk”, <i>Journal of the European Economic Association, 6(6): 1109~1150.</i><br />
|
| [23] |
Heaton, J., and Lucas, D., 2000, “Portfolio Choice in the Presence of Background Risk”, <i>The Economic Journal, 110(460): 1~26.</i><br />
|
| [24] |
Kimball, M., 1993, “Standard Risk Aversion”,<i>Econometrica: Journal of the Econometric Society, 61: 589~611.</i><br />
|
| [25] |
Kimball, M., and Weil, P., 2009, “Precautionary Saving and Consumption Smoothing Across Time and Possibilities”,<i>Journal of Money, Credit and Banking, 41(2‐3): 245~284.</i><br />
|
| [26] |
Merton, R. C., 1971, “Optimum Consumption and Portfolio Rules in a Continuous-time Model”, <i>Journal of Economic Theory, 3(4): 373~413.</i><br />
|
| [27] |
Pratt J., and Zeckhauser R., 1987, “Proper Risk Aversion”. <i>Econometrica: Journal of the Econometric Society, 55: 143~154. </i>
|
|
|
|
