期刊文献+

基于异质信念的行为资本定价模型及其构建 被引量:1

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摘要 文章在突破传统资本资产定价模型理性人假定的基础上,将投资者异质信念引入到标准消费资本资产定价模型中,并在基于资本市场信息结构、证券结构及投资偏好条件下,构建了异质信念的行为资本资产定价模型。该模型表明投资异质性假定导致了资本资产定价条件项的变化,从而解释了标准CCAPM无法解释的股权风险贴水之谜。
作者 关斐
出处 《统计与决策》 CSSCI 北大核心 2014年第13期167-170,共4页 Statistics & Decision
基金 河南省软科学研究计划项目(142400411146)
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参考文献9

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二级参考文献24

  • 1张维,张永杰.异质信念、卖空限制与风险资产价格[J].管理科学学报,2006,9(4):58-64. 被引量:111
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  • 3王凤荣,赵建.基于投资者异质性信念的证券定价模型——对我国股票市场价格的实证检验[J].经济管理,2006,32(18):41-46. 被引量:19
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