基于异质信念的股票定价研究

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1、摘要经典的资本资产定价模型在金融理论发展史上具有里程碑式的作用。但是，越来越多的学者研究发现，金融市场中存在诸多无法用经典的资产定价理论所解释的金融异象。因此，放弃同质信念而基于异质信念的资产定价研究逐渐受到青睐。本文由异质信念的定义出发，构建了一个基于异质信念的股票定价均衡模型，分别研究了预期收益率意见分歧与预期收益率方差意见分歧对股票价格的影响。与其他文献所得的异质信念单纯的与股价正相关或负相关的结果不同，本文的研究结果表明，当无差异的投资者，即对于投资股票或是投资无风险资产无偏好的投资者，预期的收益率高于市场上平均预期收益率时，异质信

2、念与股票价格呈现正相关关系，反之则负相关；当无差异的投资者预期收益率方差高于市场平均预期收益率方差时，异质信念与股票价格呈现正相关关系，反之则负相关。在理论模型分析之后，本文对相关参数进行了赋值，通过模拟的方法验证了结论，并将研究对象间的关系直观地呈现出来。最后，本文对研究结果进行了总结，并指出本研究的不足之处和未来研究可进一步深入研究的方面。关键词：异质信念；股票价格；预期收益率；方差AbstractClassicalAssetPricingModel(CAPM)isoneofthelandmarksinthefinancialhisto

3、ry．However,agrowingnumberofresearchresultsshowthattherearemanyanomaliesinthefinancialmarketcannotbeexplainedbyclassicalassetpricingtheory．Therefore，researchersgraduallyloosetheassumptionsofhomogeneousbeliefs，andtendtoheterogeneousbeliefs．Accordingtothedefinitionofheterogen

4、eousbeliefs，wedevelopastockpricingmodelbasedonheterogeneousbeliefsamonginvestors．Inthispaper，westudyhowthedisagreementofexpectedstockretumsimpactsonstockpriceandthepricingeffectofdisagreementregardingretumvariances．UnlikeotherIiterature’Sresultsthatheterogeneousbeliefsands

5、tockpricearesimplypositiveornegativecorrelation，wegetdifferentresults．Weshowthat．wheninvestorswhohavenopreferenceforinvestinginstockorfleeriskassetexpectthestockreturnwillbehigherthanaverageexpectedreturnofthemarket，heterogeneousbeliefsarepositivelyrelatedtostockprice．Othe

6、rwise，heterogeneousbeliefsarenegativelyrelatedtostockprice．Wealsoshowthat，wheninvestorswhohavenopreferenceforinvestinginstockorfleeriskassetexpectthestockreturnvariancewillbehigherthanaverageexpectedreturnvarianceofthemarket，thelevelofdisagreementispositivelyrelatedtostock

7、price．Otherwise，therelationshipisreversed．Aftertheanalysisofthemodel，byusingthesimulationmethod，theconclusionhasbeenverifiedandtherelationshipbetweenparametershasbeenpresentedvisually．Finally,accordingtothestudyresults，thereisasummaryintheend．Moreover，thepaperpointsoutwhat

8、istheinadequacyofthisstudy，andwhatneedstofurtherdeepeninthen】tllre．KeyWords：heterogeneous