从投资者情绪看资产定价理论发展与演进

The Development and Evolution of Asset Pricing Theory: An Investor Sentiment Perspective

传统资产定价理论的假设在投资者实践当中难以有效运用,存在很多资产定价模型所无法解释的金融异象。基于投资者情绪的行为资产定价理论一直是解释金融市场异象的主要理论基础之一,从投资者情绪的角度去研究资产定价理论是非常有意义的。文章针对当前研究的不足,构建了基于异质情绪的资产定价模型,提出了加强投资者情绪理论与市场微观结构理论相结合,与非线性资产定价研究模式相结合,考虑政策、文化因素的资产定价研究模式。

It＇s difficult for investors to use hypotheses of the traditional asset pricing theory in prac- tice. There are numerous financial anomalies that asset pricing model is unable to explain. The asset pri- cing theory based on investor sentiment behavior has been one of the main theories to explain the anomalies in financial market. It＇s of great importance to study asset pricing theory from the perspective of investor sentiment. Overcoming defects of current studies, the paper builds an asset pricing model based on hetero- geneous sentiment of investors. Suggestions are proposed that the investor sentiment theory should be com- bined with market microstructure theory, that nonlinear asset pricing model should be combined, and that the policy and cultural factors should be taken into consideration.