中国证券市场投资者异质信念性的实证研究——基于异质信念定价模型的有效矩估计法

The empirical research for the investors' heterogeneous beliefs in Chinese stock market——based on the EMM to the asset pricing model under the heterogeneous beliefs

基于异质信念定价模型分析,找到一个能准确反映投资者的异质信念性的新指标:投资者适应性选择的敏感度。运用有效矩估计法对其进行实证分析,发现这一新指标比常用的换手率更能准确反映出投资者的异质信念性,并且深市投资者的异质信念性比沪市更强,小盘股投资者的异质信念性比大盘股更强。

Based on the analysis of the asset pricing model under the heterogeneous beliefs,the paper finds a new index： investors＇ sensitivity of adaptive selection which can accurately reflect the investors＇ heterogeneous beliefs. Through empirical analysis of the efficient method of moments,it finds that the new index can more accurately reflect investors＇ heterogeneous beliefs than turnover rate which is commonly used. Besides,investors＇ heterogeneous beliefs in Shenzhen are stronger than those in Shanghai,and the small-cap stocks investors＇ heterogeneous beliefs are stronger than those of large capitalization stocks.