金融市场投资主体机构化对资产定价的影响

Influences on Asset Pricing From the Institutionalizing of Investment Body in Financial Markets

金融学家在研究资产定价时往往假设投资者直接投资于金融市场 ,这一假设符合资产定价理论发展的初期。随着金融市场上投资主体的机构化 ,金融中介已经成为资产定价中不可忽略的影响因素。在对资产定价理论的发展历程进行简要综述后 ,分析金融中介所存在的风险偏好不一致和羊群效应 ,并尝试着将其纳入资产定价的分析框架 ,对金融泡沫以及部分异象进行初步的探讨。

According to a standard asset pricing theory, investors are assumed to invest directly in financial market. This assumption of financial experts is only suitable for the early development of asset pricing theories. With the institutionalizing of investment body in financial market, the role of financial institutions in asset pricing becomes more and more evident. After the brief summary of the progress of asset pricing theories, we analyzed the phenomenon of risk-seeking inconsistency and herd behavior. We put the two phenomenon into the realm of asset pricing analyzing and made a preliminary probe into financial bubbles and part of the anomalies.