基于投资者情绪的行为资产定价模型

Behavioral Asset Pricing Model Based on Investor Sentiment

沿用DHS模型研究框架建立了基于投资者情绪的资产定价模型,分析了投资者情绪对资产定价的影响,并利用该模型解释证券市场中的过度反应和过度波动等异常现象。论证了投资者情绪对长期市场收益具有反向影响,并且情绪交易者的存在导致短期资产价格波动变大。

A behavioral asset pricing model based on investor sentiment is built by using the theory of DHS and the effect of investor sentiment on the asset price is analyzed. Some anomalous phenomena such as overreaction and excess volatility can be explicitly explained by using the above model. Simulated results show that invenstor＇s sentiment has a negative effect on market return with long-term, and the investor with sentiment make asset price fluctuate largely in short term.