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中文摘要：
为研究资产期望收益率与条件方差间的相关性，本文使用上证综合指数日度收益率数据及混频条件异方差模型（GARCH—MIDAS）对投资者风险偏好进行了估计．理论模型表明，当投资者持有的风险资产权重不变时，时间维度上两者的同期相关性取决于投资者风险偏好．当假设风险偏好固定不变时，GARCH—MIDAS的估计结果显示投资者表现为风险中性．随后通过Markov机制转移模型识别出了熊市和牛市两种市场状态，并分别研究了两种状态下的投资者风险偏好．其结果显示：熊市下投资者有显著的风险厌恶，而牛市下投资者则表现为显著的风险追求．
英文摘要：
For studying the relation between equity＇s expected return and conditional variance, this article uses SSE-Index daily return and GARCH-MIDAS model to estimate investors＇ risk-preference. Theoretical model clarifies that their time-series relation is determined by investors＇ risk-preference when the weight of investors＇ risky asset is constant. When assuming risk-preference is constant, GARCH-MIDAS shows that investors are risk-neutral. Subsequently, we identify bear/bull market by Markov regime switch model, and study investors＇ risk-preferences under the risk-averse during bear market but risk-seeking two regimes respectively. Results reveal that investors are during bull market.
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