CAJ | 학술논문

如果投资者具有异质偏好，那么他们的投资策略是否会有所不同？该问题对于分析投资者行为和理解金融市场波动具有重要意义。但目前该问题的相关研究还很不够，理论和实证上都亟待加强。本文基于常相对风险厌恶效用函数（CRRA），采用乘数偏好和预期效用偏好，对比研究异质偏好对企业投资决策产生的影响。在纯交换经济条件下，本文推导出了两种偏好所决定的企业投资策略，并进行了实证分析。分析结果表明，异质偏好对投资决策有实质性影响。这一研究方法对于异质偏好及其效应的研究，具有较为普遍的借鉴意义。
여과투자자구유이질편호，나요타문적투자책략시부회유소불동？해문제대우분석투자자행위화리해금융시장파동구유중요의의。단목전해문제적상관연구환흔불구，이론화실증상도극대가강。본문기우상상대풍험염악효용함수（CRRA），채용승수편호화예기효용편호，대비연구이질편호대기업투자결책산생적영향。재순교환경제조건하，본문추도출료량충편호소결정적기업투자책략，병진행료실증분석。분석결과표명，이질편호대투자결책유실질성영향。저일연구방법대우이질편호급기효응적연구，구유교위보편적차감의의。
Do corporate investment strategies vary if preferences of investors are heterogeneous？ The answer to this question is valuable for understanding investor behaviors and financial market volatilities. The research on this question, however, is insufficient theoretically and empirically. We employ Constant Relative Risk Aversion （CRRA） Utility Function, Multiplier Preferences and Expected Utility Preferences to study the effects of heteroge- neous preferences on corporate investment strategies. The strategies determined by the two preferences are derived within a pure exchange economy and related empirical tests are conducted. The result shows that heterogeneous preferences have some substantial effects on investment decision makings. The approach proposed in this paper would be inspiring for the study with respect to heterogeneous preferences and their effects.