异质信念与股票价格

Heterogeneous Beliefs and Stock Prices

以技术分析和基本面分析两大交易策略作为投资者异质信念的代理指标,推导出异质信念下的股票定价模型,通过检验该模型在中国股市的适应性,分析异质信念与股票价格之间的关系。结果表明,沪深两市中技术分析对股票价格的影响强于基本面分析的现象导致股票价格偏离内在价值成为常态,相比较而言,这一现象在深市表现得更为明显。异质信念能够影响股票价格行为,但由于技术分析的影响更强,股票价格常呈现随异质信念的异质程度增大而更多地偏离内在价值的行为。股票价格行为也会反作用于异质信念,主要体现在基本面分析上,股票价格越偏离内在价值,基于基本面分析的均值回归力量越强。

Taking the two trading strategies of technical analysis and fundamental analysis as a proxy indi- cator of investors＇ heterogeneous beliefs, the paper deduces a stock pricing model under heterogeneous be- liefs, and through the test of the model＇s adaptability in Chinese stock market, concretely analyzes the rela- tionship between heterogeneous beliefs and stock price behaviors. It finds that in Shanghai and Shenzhen stock markets, technical analysis has a stronger influence on stock prices than fundamental analysis, with the stock prices deviating from intrinsic values becoming normal. By contrast, this phenomenon is more obvious in Shenzhen market. The further study finds that heterogeneous beliefs can affect stock price behaviors, and as a result of the stronger influence of technical analysis, stock prices show an increase of heterogeneous de- gree and more behaviors to deviate from intrinsic values. Stock price behaviors, in turn, will react on hetero- geneous beliefs, which are reflected particularly in the fundamental analysis. The more the stock price devi- ates from intrinsic values, the more powerful the mean reversion based on the fundamental analysis will be.