过度自信、有限参与和资产价格泡沫

Overconfidence,Limited Participation and Asset Price Bubbles

当存在模型不确定性且有限市场参与内生时,过度自信的投资者和理性投资者参与股票市场的程度有着不同的行为模式。本文给出的模型分析了两种投资者在不同情况下对股票市场的参与情况,借此解释有限市场参与、超额进入和资产定价之间的关系。模型在流动性溢价、投资者结构和风险溢价的关系等方面具有明显的实证含义。模型表明,理性投资者有更大的投资区域,但是非理性投资者在其投资区域内更为激进。进而,在不同情形下,模型给出了资产均衡价格与投资者结构之间对应关系。

Limited participation can arise endogenously in the presence of model uncertainty, and overconfident investors enter the market differently from the rational investors. Our model generates novel predications on how overconfidence relates to limited participation, excess entry and asset pricing. This model has strong empirical implication about the relations among the liquidity premium, the shareholder structure and the risk premium. The paper shows that investors who are overconfident about asset mean payoffs have larger non-participation regions than investors with rational. But investors who are overconfident about asset mean payoffs are more aggressive in their participation regions than investors with rational. Further, this model derives the corresponding rclations between the shareholder structures and the equilibrium asset prices in different cases.