带信息的情绪资产定价研究

Research on the sentiment asset pricing with information

在非对称信息条件下,我们建立了一个一般化的情绪资产定价模型,表明投资者情绪对资产价格具有显著的系统性影响.模型中,情绪和信息是相对应的.知情者利用有价值的信息进行交易,使得信息融入价格之中;情绪投资者基于情绪进行交易.使得情绪融入价格之中;理性不知情者偶尔误把情绪当作信息,追逐情绪投资者,从而放大情绪冲击,使得资产价格远远偏离它的潜在价值.此外,情绪投资者的比重以及信息的质量等因素能够放大投资者情绪对资产价格的冲击,从而降低市场的有效性.

We present a generalized sentiment asset pricing model under msymrnctric information, which shows that the investor sentiment has a systematic and significant impact on the asset price. In the model, sentiment is contrasted with information. The insiders possess vMua.ble information and trade in such a way that the fundanlental information is incorporated into prices, the sentiment investors trade on their own sentiments so that the investor sentiment is also factored into prices, and the outsiders occasionally chase sentiment as if it were information, thereby amplifying sentiment shocks and moving the asset price away from fundamental values. Moreover, the proportion of sentiment inw;stors, the information qulity and so on could amplify the sentiment shock on the asset price, thus reducing the efficiency of the inarket.