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.

The Equilibrium Asset Pricing Model Based on Investors' Heterogeneous Beliefs

Under the framework of behavioral finance, the divergence of opinion existed in the expectation of the stock price is used to stand for the heterogeneous beliefs and an equilibrium asset pricing model is constructed. It has been confirmed thereti-cally that the heterogeneous belief is an important factor affecting asset prices and the equilibrium price changes in the same di-rection with the degree of heterogeneous beliefs. In addition, Closed-end fund discount is used to be an example to show the use-fulness of model in explaining the financial market's anomalous phenomena. Data of China's stock market is selected and an e-conometric model is built to test the impact of the degree and the volatility of heterogeneous beliefs on asset prices. The empirical results support the conclusions of theoretical models. The empirical results also show that: the coefficient of volatility is signifi-cant, which means the heterogeneous beliefs have a significant spillover impact on the stock index. The efficiency of information transfer will affect the degree of investor disagreement, therefore effective information disclosure mechanisms are better able to re-duce the problem of stock price over-estimated out of the heterogeneous beliefs.