异质投资者与资产定价:一个新的资本资产定价模型

Heterogeneity Investors and Asset Pricing: A New Capital Asset Pricing Model

关于资产价格的研究,大多是建立在完美市场的假设下。本文提出了一个不完美市场中的资产定价模型。从投资者的资金成本差异和信息不对称的角度出发,探讨了不确定状态下异质投资者对资产价格的影响,并从模型的讨论结果中得到了一些政策含义。

Among the studies of asset price, most of them are established on the assumption under perfect market. In this research, we firstly presume that the market is an imperfect market, and then by considering the factors of the difference of capital cost and information, we discuss the impact of asst price of heterogeneity investors under uncertain conditions. Some policy conclusions are drawn from the results of the discussion toward models.