基于个人投资者过度自信的中国股票市场定价模型

Pricing Model of Chinese Stock Market Based on Individual Investors' Overconfidence

根据中国股票市场的实际情况,在假设个人投资者过度自信、风险厌恶、且是市场上的价格接受者的条件下,建立数学模型、从理论上研究个人投资者过度自信对中国股票市场定价的影响机理。研究结果表明:个人投资者过度自信程度提高将增大股票市场价格波动性和预期价格、降低股票市场价格质量和个人投资者的总体投资收益;个人投资者风险厌恶程度提高和股票平均供给量增加将降低股票市场预期价格和增加个人投资者总体投资收益。论文研究结果可以在一定程度上合理地解释中国股票市场存在的暴涨暴跌现象、相对于发达国家和地区股票市场的高溢价现象、严重偏离于中国经济发展基本面的高波动现象以及个人投资者总体投资收益比较低的现象。

According to the actual situation in Chinese stock market,under the hypothesis condition that individual investors are overconfident and risk aversion and price-takers,this paper studies the effect mechanism of individual investors＇ overconfident psychological preference on the price and its volatility of Chinese stock market by setting up an appropriate mathematical model theoretically.The research results show that the higher level of individual investors＇ overconfidence would increase the volatility and expected price of stock market,and decrease the price quality of stock market and investors＇ total expected investment income,while the higher level of individual investors＇ risk aversion and the more amount of average stock supply would decrease expected price of stock market and increase individual investors＇ total expected investment income.The above-mentioned conclusions,in a certain degree,can reasonably explain phenomena that price of Chinese stock market is up and down rapidly and significantly and far greater than prices of stock markets in developed countries and regions,and the volatilitiy of Chinese stock market deviates from fundamentals of Chinese economic development seriously,and individual investors＇ total investment income of Chinese stock market is relatively low.