基于投资者异质信念的均衡资产定价模型研究

在行为金融框架下,采用投资者在价格期望方面存在的意见分歧来表征投资者异质信念,构建投资者异质信念下的均衡资产定价模型,从理论上证明投资者异质信念是影响资产价格的重要因素,投资者信念差异程度与均衡价格同向变动,并以封闭式基金折价为例说明该模型对金融市场价格异象的解释力.为检验理论模型的结论,选取中国股票市场数据构建计量经济模型,对投资者异质信念程度及其波动性对资产价格的影响进行实证分析,实证结果支持理论模型的结论.实证结果还发现,投资者异质信念的条件波动性变量系数显著,对股市收益率有显著的影响,说明投资者异质信念的波动对股市价格指数有显著的溢出效应,信息的传递效率会影响投资者的意见分歧程度,因此有效的信息披露机制能够更好地减少异质信念带来的股价高估问题.     

异质信念与公司融资工具选择——兼析中国市场股权融资偏好

本文选用沪深两市2006.1-2009.9发布融资公告的上市公司为研究对象,对投资者异质信念与公司融资工具选择的关系进行探讨。研究结果发现,当公司融资工具为股权或直接债券时,投资者异质信念越大,公司越倾向于股权融资。同时还发现,中国市场股权和直接债券融资公告发布前的投资者异质信念差异性显著高于美国市场,这可以由我国市场的投资者结构和卖空机制来解释。     

基于资产链的异质投资者资本资产定价模型

本文基于资产链理论给出投资者的异质预期假设,通过对资产链各节点系统风险的分解,将传统的资本市场线转变为资本市场超平面,建立基于资产链的资本资产定价模型。本文使用小波滤波分解资产收益,对模型在上海A股市场的适用性进行检验,结果表明模型能够区分各类系统风险对资产收益的影响,对资产的平均收益具有显著的解释能力。     

异质信念、卖空限制与股票收益——基于中国证券市场的分析

本文通过构建换手率分离模型计算未预期交易量,并以此作为异质信念的度量指标,探讨其对股票收益的解释能力.依据异质信念程度高低分组发现,异质信念越大的股票组合当期收益越高、未来一期收益越低,这一差异对小规模公司股票最为明显;将异质信念引入CAPM和Fama-French三因子模型,得到异质信念对股票当期收益的影响显著为正、对未来一期收益的影响显著为负;在进一步考虑了流动性、动量效应等因素后,结论依然成立;但针对2010年后允许卖空的股票,异质信念对股票未来一期收益的影响不再显著.本文基于中国证券市场的制度环境,一方面验证了Miller理论的有效性,同时也发现引入卖空机制能在一定程度上减弱异质信念导致的资产定价偏差.     

Gambling attitudes and beliefs associated with problem gambling: the cohort effect of Baby Boomers

Recreational and problem gamblers alike hold beliefs about gambling that are dysfunctional. These dysfunctional beliefs have been theorized to play a role in problem gambling behaviour. The current study sought to examine the effects of gambling attitudes and beliefs on problem gambling behaviour across three cohorts. A sample of 308 participants consisted of 101 individuals from Generation X, 139 from the Baby Boom cohort and 68 from the Silent Generation. Hierarchical multiple regressions showed that for Baby Boomers, higher scores on scales measuring beliefs about luck and illusions of control were associated with higher scores on measures of problem gambling than for the Silent Generation. Generation X’s higher scores on luck scales were associated with higher scores in problem gambling than the Baby Boom cohort. Attitudes associated with problem gambling did not differ among cohorts. These results suggest that while cohorts may not differ in types or levels of distorted beliefs, they differ in how such distortions relate to problem gambling. Future research should focus on determining whether such cohort effects are indicative of differences within the development and maintenance of problem gambling itself.     

A bayesian analysis of trend determination in economic time series

In this paper we provide a comprehensive Bayesian posterior analysis of trend determination in general autoregressive models. Multiple lag autoregressive models with fitted drifts and time trends as well as models that allow for certain types of structural change in the deterministic components are considered. We utilize a modified information matrix-based prior that accommodates stochastic nonstationarity, takes into account the interactions between long-run and short-run dynamics and controls the degree of stochastic nonstationarity permitted. We derive analytic posterior densities for all of the trend determining parameters via the Laplace approximation to multivariate integrals. We also address the sampling properties of our posteriors under alternative data generating processes by simulation methods. We apply our Bayesian techniques to the Nelson-Plosser macroeconomic data and various stock price and dividend data. Contrary to DeJong and Whiteman (1989a,b,c), we do not find that the data overwhelmingly favor the existence of deterministic trends over stochastic trends. In addition, we find evidence supporting Perron's (1989) view that some of the Nelson and Plosser data are best construed as trend stationary with a change in the trend function occurring at 1929.     

社会主义文化信仰研究的理论基础与思维方式

论证社会主义文化信仰的理论基础与思维方式,是社会主义文化信仰研究的理论前提。社会主义文化信仰研究的理论基础是多种理论的组合,包括文化民族主义、文化革命思想、社会主义先进文化理论、中国文化中的＂人民观＂、文化符号学理论、开放文化思想、马克思文化结构思想等。基于此,社会主义文化信仰研究的思维特征可归纳为文化民族主义视角、文化革命思想视角、社会主义先进文化理论视角、中国文化中的＂人民观＂视角、文化符号学理论视角、开放文化思想视角和马克思文化结构思想视角。     

论商标在先使用之保护--兼谈我国《商标法》第三次修订

通过对我国司法实践中对于商标在先使用是否成立商标侵权抗辩的不同判决意见的梳理，以比较法的视角分析了以商标先用权制度解决商标在先使用人与商标注册人利益冲突的思路。我国现行立法基本上符合商标先用权的思路，规定了对服务商标、未注册驰名商标和已经使用且有一定影响的商标在先使用的保护。在《商标法》第三次修订过程中，应当进一步借鉴经验，规定商标先用权，完善对商标在先使用的保护。     

From Narcissistic Exploitativeness to Bullying Behavior: The Mediating Role of Approval‐of‐aggression Beliefs

This study examined the role of approval‐of‐aggression beliefs in the relationship between narcissistic exploitativeness and bullying behavior in an Asian sample (N = 809) comprising elementary children and middle school adolescents. Narcissistic exploitativeness was significantly and positively associated with both bullying behavior and approval‐of‐aggression beliefs, and approval‐of‐aggression beliefs was significantly and positively associated with bullying behavior. Additionally, findings indicated that approval‐of‐aggression beliefs was a statistically significant mediator and 53 percent of the total effect of narcissistic exploitativeness on bullying behavior was mediated by approval‐of‐aggression beliefs. Approval‐of‐aggression beliefs did not moderate the association between narcissistic exploitativeness and bullying behavior. There are important theoretical implications as well as implications for prevention and intervention efforts targeting aggressive, bullying behavior among children and adolescents.