基于投资者意见分歧的资产定价研究最新进展

New Development of the Asset Pricing Research Basing on Investor's Diverging Opinions

近年来基于投资者意见分歧的资产定价研究取得了长足的发展,这一领域的理论和实证研究大大丰富和发展了传统的金融经济学理论。但是,已往的经验研究在意见分歧代理变量、卖空限制变量以及股票收益变量的选取和构建上没有达成统一,从而导致检验结果出现差异。我国完全禁止卖空的股票市场的经验研究有助于克服以往研究在卖空限制变量选取上的分歧,丰富国内外研究内容。

The research in asset pricing basing on investor＇ s diverging opinions has made a great progress in recent years. The theoretical and empirical research in this area enriches and promotes greatly the theory of traditional financial economics. However, the empirical research is not consistent in the selection and construction of proxies of opinion divergence, short sale constraints and stock returns, which produces inconsistent research results. The empirical research of China＇ s stock market in which short - selling is strictly prohibited can smooth the dispute in selection of proxy of short sale constraints and extend the scope of research in this field.