投资者异质信念下过度反应和反应不足研究述评

Review of study on investors' overreaction and underreaction behavior based on heterogeneous beliefs

传统的有效市场假说和资产定价理论,通常假定所有的投资者是完全理性的并具有同质的特性,即所有投资者在个人禀赋、偏好、信念等方面是相同的。但现实中,非理性因素会影响投资者对信息的判断,使投资者对未来的预期呈现不同的异质性,并表现出"过度反应"和"反应不足"两种特殊现象。对这两种现象的研究已经成为金融学的一个重要分支。文章结合相关研究的发展历程,对两者的定义、识别方法、心理基础、形成机理以及影响因素等方面进行了文献回顾,并对其发展前景进行了展望。

The traditional Efficient Market Hypothesis and asset pricing theory hold that investors are entirely rational and homogeneous,that is,investors are basically identical in endowments,preference and belief.However,irrational factors also affect real investors’judgments on information,so the market value of an asset may differ from its actual value,causing two special phenomena,overreaction and underreaction.According to the development of related studies,we conduct a lite-rature survey on the definitions,recognitions,psychological bases,formation mechanisms,and affecting factors of the two phenomena,and predict the prospect of related researches.