基于内生后验异质信念的资产定价研究

A Study on Asset Pricing Based on Endogenous Posterior Heterogeneous Beliefs

本文通过建立市场中存在过度自信非理性投资者的两类代表投资者的三期资产定价模型,研究投资者内生的后验异质信念与资产定价的关系。本文的研究发现,投资者的异质信念平均来说与资产价格的高估程度正相关,但就信号的具体实现值来看,异质信念的增大也可能与资产价格被低估的程度正相关。本文讨论了各种均衡状态下,信号的具体实现值对投资者异质信念与资产定价关系的影响。基于中国上市公司的实证研究为模型结论提供了很好的支持。

We established a three period asset pricing model which included two representative agents and irrational agent was overconfident.We found that the over-valuation of asset positive correlated with agents' heterogeneous beliefs on average.But based on the realized value of signal,the under-valuation of asset may positive correlated with agents' heterogeneous beliefs.We analyzed the realized value of signal's influence on the correlation between asset pricing and agents' heterogeneous beliefs in three equilibriums.Our empirical study based on China list companies supported model's conclusions.