通胀幻觉、预期偏差和股市估值

Inflation Illusion,Expectation Bias and Stock Market Evaluation

作为金融市场的一种"异像",通胀幻觉是投资者采用名义利率对实际现金流进行贴现从而导致资产价值低估。传统通胀幻觉理论对资产定价机制的分析,揭示了已实现通胀率对股票内在价值的扭曲,而未关注通胀预期对资产定价行为的影响。本文正是基于预期通胀的前提,分析通胀预期造成投资者行为预期的"双重偏差":通胀预期造成股利贴现偏差和投资者行为预期偏差。在模型分析的基础上,本文基于通胀预期对投资者行为和资产估值影响进行实证分析,检验结果表明通胀幻觉效应同样存在中国股票市场,在通胀预期条件下投资者情绪和主观风险溢价对资产定价产生影响,导致股票价格偏离红利现金流贴现,从而引发市场过度投机和资产价格非理性膨胀。

The inflation illusion, as a kind of ＂abnormal phenomenon＂ in financial market, refers to that investors discount the real cash flow with nominal interest rate, which results in the devaluation of asset value. The traditional inflation illusion theory has analyzed the asset pricing mechanism and revealed the distortion of intrinsic value of stocks by inflation rate, without paying attention to the influence of inflation expectation on asset pricing. This paper analyzes the ＂two-fold deviation＂ of the expectation of investors＇ behavior affected by the inflation expectation on the premise of expected inflation ： the deviation of dividend discount and the deviation of expected investors behavior affected by the inflation expectation. Moreover, based on the model analysis, the paper also empirically studies the affect on the investors＇ behavior and asset evaluation that inflation expectation, the result shows that the inflation illusion phenomenon exists in Chinese stock market as well. Under the circumstance of inflation expectation, assets price is affected by the investors＇ emotion and subjective risk premium, which resulted in the stock price isn＇t discounted according to the dividend cash flow, so market speculation prevails and assets price irrationally expands.