金融资产定价异常现象研究综述及其对新资产定价理论的启示

A Review of Financial Asset Pricing Anormalies and Its Implications to A New Asset Pricing Theory

本文综述了国内外行为研究中金融资产定价异常现象的文献，提出绝大部分金融资产定价异常可按偏离类型归为横截面定价异常、基础一衍生定价异常二个维度。金融资产定价异常二维分类方法简单，具有排他性和完备性，同时解决了目前行为金融研究分散、无逻辑和内涵模糊的问题，为其发展打开了新空间；更重要的是二维体系有望将红利贴现模型、CAPM、Fama ＆ French的三因素模型和APT模型统一，形成一个包含二维定价因子的新资产定价模型。

This paper reviews domestic and international literature of financial asset pricing anormalies in behavioral finance research. Based on the type of asset-pricing deviation, we classify asset pricing abnormalities into two dimensions： cross-sectional abnormality and underlying-derivatives abnormality. This two-dimension categorization of asset pricing abnor realities is not only simply but also exlusive and exhaustive. In addition, it resolves the problem of lack of a coherent logic that behavioral finance currently faces. More importantly, it has the potential to unitify all the asset-pricing models to obtain a new asset-pricing model containing pricing factors of the two dimensions.