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过度自信与风险溢价研究 被引量：3

Research on Overconfidence and Risk Premium
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摘要 非理性投资者的心理会影响风险溢价。本文基于投资者的过度自信心理偏差构建了证券投资的理性风险溢价度量模型、非理性风险溢价度量模型,并利用理性投资者和非理性投资者的相互作用,构建了证券投资的市场风险溢价度量模型,研究了非理性风险溢价对理性风险溢价和市场风险溢价的偏离问题。研究结论表明:非理性风险溢价偏离市场风险溢价的程度依赖于非理性投资者的市场价值权重。 The psychology of irrational investors can affect risk premium. A rational risk premium model and an irrational risk premium model are established. A model of market risk premium through the interaction of rational investors and irrational investors is constructed. The bias problem of irrational risk premium relative to the rational risk premium and the market risk premium is studied. We conclude that the degree of the bias of the irrational risk premium relative to the market risk premium depends on the value weight of the irrational investors.
作者 姜伟 杨春鹏 刘喜华
机构地区 青岛大学经济学院
出处 《运筹与管理》 CSCD 2007年第5期122-125,共4页 Operations Research and Management Science
基金 国家自然科学基金资助项目(70571042)
关键词 金融学 风险溢价 过度自信 非理性风险溢价 市场风险溢价 finance risk premium overconfidence irrational risk premium market risk premium
分类号 F830.91 [经济管理—金融学]
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参考文献15

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二级参考文献12

  • 1杨春鹏,吴冲锋.基准收益率与证券投资的认知风险[J].管理评论,2004,16(12):37-40. 被引量：3
  • 2杨春鹏,吴冲锋,陈敏.行为金融:认知风险与认知期望收益[J].中国管理科学,2005,13(3):15-19. 被引量：31
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共引文献6

同被引文献43

引证文献3

二级引证文献92

运筹与管理
2007年 第5期

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