Investors’ Risk Preference Characteristics and Conditional Skewness

Perspective on behavioral finance, we take a new look at the characteristics of investors’ risk preference, building the D-GARCH-M model, DR-GARCH-M model, and GARCHC-M model to investigate their changes with states of gain and loss and values of return together with other time-varying characteristics of investors’ risk preference. Based on a full description of risk preference characteristic, we develop a GARCHCS-M model to study its effect on the return skewness. The top ten market value stock composite indexes from Global Stock Exchange in 2012 are adopted to make the empirical analysis. The results show that investors are risk aversion when they gain and risk seeking when they lose, which effectively explains the inconsistent risk-return relationship. Moreover, the degree of risk aversion rises with the increasing gain and that of risk seeking improves with the increasing losses. Meanwhile, we find that investors’ inherent risk preference in most countries displays risk seeking, and their current risk preference is influenced by last period’s risk preference and disturbances. At last, investors’ risk preferences affect the conditional skewness; specifically, their risk aversion makes return skewness reduce, while risk seeking makes the skewness increase

Time-Varying Risk Attitude and Conditional Skewness

Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCH-M model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the conditional skewness in the return distribution and the time-varying risk attitude. The empirical study indicates that the coefficient of the risk premium varies with the time, and even in a mature market the conditional skewness in the return distribution is negatively correlated with the time-varying coefficient of the risk premium

Time-Varying Risk Attitude and Conditional Skewness

Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCH-M model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the conditional skewness in the return distribution and the time-varying risk attitude. The empirical study indicates that the coefficient of the risk premium varies with the time, and even in a mature market the conditional skewness in the return distribution is negatively correlated with the time-varying coefficient of the risk premium

The Effects of Prior Outcomes on Risky Choice: Evidence from the Stock Market

How do prior outcomes affect the risk choice? Research on this can help people to understand investors’ dynamic decisions in financial market. This paper puts forward a new value function. By analyzing the new value function, we find that the prior gains and losses have an impact on the form of value function and the current investors’ risk attitude. Then the paper takes the behavior of the whole stock market as the research object, adopts aggregative index number of 14 representative stocks around the world as samples, and establishes a TVRA-GARCH-M model to investigate the influences of prior gains and losses on the current risk attitude. The empirical study indicates that, at the whole market level, prior gains increase people’s current willingness to take risk assert; that is to say, the house money effect exists in the market, while people are more risk aversion following prior losses

Investors’ Risk Preference Characteristics Based on Different Reference Point

Taking the stock market as a whole object, we assume that prior losses and gains are two different factors that can influence risk preference separately. The two factors are introduced as separate explanatory variables into the time-varying GARCH-M (TVRA-GARCH-M) model. Then, we redefine prior losses and gains by selecting different reference point to study investors’ time-varying risk preference. The empirical evidence shows that investors’ risk preference is time varying and is influenced by previous outcomes; the stock market as a whole exhibits house money effect; that is, prior gains can decrease investors’ risk aversion while prior losses increase their risk aversion. Besides, different reference points selected by investors will cause different valuation of prior losses and gains, thus affecting investors’ risk preference

Using noble gases to trace groundwater evolution and assess helium accumulation in Weihe Basin, central China

The severe shortage of helium resources is an impending global problem. However, the helium accumulation processes and conditions favorable for helium enrichment in reservoirs remain poorly understood, which makes helium exploration challenging. Noble gases are good tracers of subsurface fluids provenance, migration and storage, as well as indicators of the nature and quantity of associated phases. In this study the variation of major gases and noble gases data in Weihe Basin provide us with an excellent opportunity to understand the groundwater evolution and helium accumulation processes. Twelve gas samples collected from wellheads of geothermal wells can be classified into three groups, in which Group A has high concentrations of N2 (58.57% - 91.66%) and He (0.32% - 2.94%); Group B has high contents of CH4 (52.94% and 69.50%) and low concentrations of He (0.057% and 0.062%); Group C has a high content of CH4 (71.70%) and He (2.11%). Helium isotopic ratios are predominantly radiogenic in origin and therefore crustally derived. Measured elemental ratios of noble gases are compared with multiple fractionation models for Group A and B samples, implying that open system heavy oil-water fractionation with excess heavy noble gases has occurred in the basin with Voil/Vwater ratios of 0.06-0.18. The amount of helium in Group A and B samples requires the release of all 4He produced in the crust since 0.30Ma-1.98Ma into the groundwater. The Group C sample requires an additional He flux from adjacent granitic bodies. The accumulation of helium and hydrocarbon in the Weihe Basin can be explained by a 4-stage process. Accumulation of commercially viable helium requires high He flux from source rocks, the existence of a free gas phase of major gas components (CH4 in most cases, N2 or CO2) and minimal major gas addition after formation of the free gas phase

The evolution of the day-of-the-week effect and the implications in the crude oil market

The movement of prices in the crude oil market are important to the international economy and financial asset returns. Day-of- the-week effect is a great challenge to the market's effectiveness. We examine the evolution of day-of-the-week and investigate its implications based on the West Texas Intermediate crude oil return from 14 May 2007 to 14 May 2021. We have obtained convincing findings that there is abnormal positive return on Wednesdays because the inventory shock schedule. Abnormal negative return on Mondays disappears sometimes, because bad sentiment is not the only decisive factor, as it is also determined by reactions to good sentiment. The results provide implication for the day-of-the-week effect and new evidence that crude oil market's efficiency changes over time. Policy makers, investors and producers can benefit from this