中文摘要：

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。

英文摘要：

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 finns （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.