收益率分布主观模型及其实证分析

A Subjective Model of the Distribution of Returns and Empirical Analysis

在累积展望理论基础上,通过累积概率描述主观因素对内在价值分布的影响,建立收益率分布主观模型。建立从经验收益率数据中估计投资群体的风险追求程度、投资情绪和非完全理性程度等行为变量参数的方法。利用沪市A股数据,进行χ2同分布拟合检验,结果表明:0.05水平下,沪市69.56%股票的收益率分布认为符合收益率分布主观模型,接受t分布、双正态混合分布、稳定分布和正态分布假设的股票分别为56.31%、44.80%、46.06%和1.74%。通过比较大、小公司投资群体的行为差异,以及利用收益率主观模型估计的内在价值信息参数和行为参数对截面个股收益率进行解释的实证分析,表明收益率分布主观模型及估计行为参数的方法具有合理性。

Based on the cumulated prospect theory, using cumulative probability to describe the influence of subjective factors upon the distribution of fundamental value, this paper establishes a subjective model of the distribution of returns. And more, this paper proposes the methods to estimate the decision risk, the investing sentiment and bounded rational of investors. Using empirical data of Shanghai A-share, the paper does a chi--squared test of distribution fitting, the results show that, at the 0.05 level, 69.56% of the stocks give an acceptable fit for subjective model of the distribution of returns, while 56.31%, 44.80%, 46.06%和 1.74% for t distribution, mix-double normal distribution, stable distribution and normal distribution. Comparing the difference of investors behavior between the large and the small corporations, and analyzing empirical evidences that the fundamental factors and behavioral factors, estimated from the subjective model of the distribution of returns, which explaine the cross-sectional returns of the single stocks, the results show that subjective model of the distribution of returns and the estimate methods of behavior factors are reasonable.