Abstract:

The decisions of rational investors in China and the United States have a significant influence on global capital flows and macroeconomic stability. However， the increasing prevalence of irrational behaviors among rational investors has prompted a re-examination of whether their decisions remain grounded in expected utility theory. In this context， the decision-making differences between rational investors in China and the United States are examined within the theoretical framework of the Almost Stochastic Dominance （ASD） criterion， which is based on expected utility maximization. The ASD criterion does not rely on specific distributional assumptions or utility function forms， accommodates non-normal return characteristics and heterogeneous risk preferences， and introduces a risk tolerance parameter （{\widehat{\mathrm{\epsilon }}}_n）. From the perspective of expected utility maximization， {\widehat{\mathrm{\epsilon }}}_nis used to measure rational investors’ acceptance of uncertainty across different economic cycles and investment horizons. This provides a more robust and widely applicable theoretical foundation for analyzing cross-country differences in investors’ decision-making. An empirical analysis was conducted using return data on stocks and 10-year government bonds in both countries over the period from July 2009 to December 2022. The results indicate that Chinese rational investors pay more attention to asset stability， and their decisions are less affected by market changes， exhibiting strong risk aversion. In contrast， rational investors in the United States focus more on returns， have a relatively neutral risk preference， and adjust their decisions along with the market. Further analysis reveals that social and political stability， trust in government， cultural psychology， financial education， and financial technology are the key factors causing the differences in decision-making between investors in the two countries. As the Chinese market matures and develops， the differences in the capital markets between China and the United States narrow. Nevertheless， Chinese rational investors are still unlikely to shift toward risk neutrality， and they may only moderately reduce their degree of risk aversion within controllable limits. This finding suggests that future research should explore more targeted investment strategies and market guidance mechanisms within a risk-averse decision-making framework.

Key words: almost stochastic dominance, rational investors, capital market, decision differences