过度自信、市场均衡及资产定价的非对称反应

Overconfidence,Equilibrium and Asset Pricing with Asymmetrical Reaction

本文对Daniel etal(2001)所给出的基于投资者过度自信的定价模型进行了修正。在市场均衡条件下,不对投资组合进行再次市场调整,而是调整期望回报中的风险补偿。风险补偿的调整使得资产的市场定价可表示为,理性风险补偿和因投资过度自信而引起的错误定价两部分;而错误定价又包括,对信号期望收益的高估所导致回报的降低和因风险低估所要求风险补偿的减少。修正后的资产定价模型,不仅与其它研究结论更相一致;而且还意味对于等量的正、负信号,资产定价中前者所引起的增量大于后者所导致的减量。该非对称反应特征恰能有效地解释",牛市"中的异常现象——利好被高估、利空却被轻视。

In this paper,we revise the model built in Daniel et al.(2001) about investor overconfidence.Under the equilibrium,we only adjust the risk premium in the rational expected return,but not the market portfolio.This adjustment would make the asset price be decomposed into complete rational price and whole components arising from mispricing.The later consists of the return decreases caused by the overestimation of the expected payoff of signs,and the reduction of risk premium caused by its underestimated.After this improvement,the price model not only accord with other results in original paper,but also implies that,for the equal positive and negative signals,the increment of price caused by the former is more than the reduction caused by the later.Which qualities of asymmetrical reaction could explain the abnormal reaction in'bull'market that the'good news'always is abused and the'bad news'ignored yet.