Distribution of returns and investor behavior: Evidence from China and American stock markets

Having analyzing CI conversion function in the model of probability conversion distribution of returns, we present beta-parameter, which stands for the investors' attitude towards the risk, and alpha-parameter, which stands for the investors' preference to the information, and hereby the correlative deduction is drawn. Utilizing 80 stocks of American markets and Shanghai Stock Exchange, we examine the applicability of probability conversion distribution of returns in different markets and the related reasoning of the investor behavior, as a result the behavior preference that has been deduced is supported and so is the model of probability conversion distribution of returns.