according to the expected utility theory the risk preference of dif erent investors can be divided into risk aversion，risk neutral and risk seeking.In the prospect theory the risk preference is described as loss aversion. According to the empirical study on the risk preference of medium and small investors in Chinese A share market we find the risk preference of medium and small investors is af ected by their gain or loss. The investors are risk seeking when they have a gain and are risk neutral when they have a loss.The medium and small investors in A market are not loss aversion defined in prospect theory.