行为模型新解及其实证检验

A New Behavioral Model and the Empirical Test

在以信息逐步扩散和投资者有限理性为主要假设的行为模型中,特定信息交易者和市场信息交易者的比例对股价行为有着重要影响:当特定信息交易者占多数时,个股收益更容易呈现正自相关;当市场信息交易者占多数时,个股收益更容易呈现负自相关。该模型可以解释成熟股市中存在基于总收益的动量效应,而中国股市中不存在基于总收益的动量效应,仅存在基于公司特定收益的动量效应;并解释了市场平均收益呈现负自相关等。另外,实证分析支持了传统的CAPM和APT定价模型中的R2越小,动量效应越显著的结论。

A new behavioral model is constructed on two hypotheses and the information diffuses gradually across the population when all investors are boundedly rational. In this model, the proportion between special information investors and market information investors greatly affects the price behavior of the stocks. When special information investors are more than market information investors, the returns of individual stocks are prone to be positive auto -correlative while the returns are prone to be negative auto -correlative in reverse. Several empirical findings are explained in this model, such as momentum effect which is based on total returns are significant in many foreign stock markets, while this effect is not significant in Chinese stock market while the one which is based on firm -special returns is significant in Chinese market; the market returns are negative auto -correlative. In addition, the deduction of this model is supported by empirical test which in classical CAPM and APT models, stocks with less will present more significant momentum effect.