本文以上证(SHSE)A股市场为考察对象,利用Shefrin和Statman的行为证券组合模型,对影响上证A股横截面预期收益的关键因素进行了探索性研究,据此实证检验了上证A股市场风险与收益之间的关系。基于行为证券组合的实证模型,考虑了上证A股市场特有的收益影响因子。采用2000年2月~2004年6月上证A股418家上市公司为样本,实证结果表明,上证A股市场风险与收益之间存在显著的负相关关系。这与利用标准金融模型的实证结果不同,但却趋于和上证A股市场实际情境吻合。

The relationship between the risk and return of the Shanghai Security Exchange(SHSE) A-share market is examined. Using the behavioral portfolio model of Shefrin and Statman, the key influential factors of the expected cross-sectional returns in the SHSE A-share market are explored. The empirical model reflects the unique return influential factors based on behavioral portfolio. With the SHSE A-share 418 listed firms (from February 2000 to June 2004) as sample, empirical results show a significant negative correlation between risk and return, which are subject to the real market behavior instead of the studies based on standard finance models.