过度自信、流动性和资产定价*

Overconfidence, number of shareholders and asset pricing

本文研究了过度自信的投资者在一个多阶段金融市场中是如何影响均衡价格和投资者要求的期望收益的。结论表明, 由于投资者过度自信, 容易低估风险, 从而在一段时期内会使得价格急剧上升。投资者人数实际上是股票市场流动性的一个表征, 我们的结论表明, 由于过度自信的投资者的存在, 他们实际上充当了流动性提供者的角色, 从而使得一段时期内即使对理性投资者来说, 依然导致了风险的暂时降低, 他们也会接受比较高的资产价格, 要求相对比较低的期望收益。

The paper analyses how the overconfident investors can produce impacts on the equilibrium asset price and the expect return they asked for in a multi-period trade setting.Result shows that asset price can rise rapidly in some period because of the existence of overconfident investors who underestimated the risk of asset.The number of trader is an indicative character about stock market liquidity, we proof that overconfident investor is the provider of liquidity during some periods in fact, which reduce the risk that rational investors shoulder, so even for the rational investors, it is also acceptable to trade asset with higher price and ask for lower exp return.