基于保守性偏差的行为资产定价模型

Behavioral Asset Pricing Model Based on Conservism Bias

本文采用信息经济学、微观结构理论和动态规划的方法,从考察投资者接受新信息后形成对资产价值的后验看法入手,通过理论建模,根据投资者认知偏差的保守性偏差因素建立了一个行为资产定价模型。在基于完全理性的资产定价模型和投资者对信息的贝叶斯学习模型的基础上,文章先构建了一个基于保守性偏差的行为资产定价模型,然后用其证明了保守性偏差会导致资产误定价,最后用保守性偏差引起资产的误定价来解释了证券收益率的异象。

From the perspective of 'Posterior Mean' of asset return, the paper constructs 'the Behavioral Asset Pricing Model Based on Conservism Bias' by the methods of Economics of Information, Microstructure Theory and Dynamic Stochastic Control. The model proves that the conservism bias, due to the psychology of investors, will lead to mispricing. Firstly, we prove 'an Asset Pricing Model Based on Perfect Rationality' under the assumption of the random walk of dividend. Then, we use static Bayesian Learning to describe how information is integrated into the posterior mean about asset return. Lastly, we construct a Behavioral Asset Pricing Model Based on Conservism Bias. Our model can explain some anomalies in capital market.