投资者情绪与动态资产定价模型

Investor Sentiment and Dynamic Asset Pricing Model

为了研究易变的投资者情绪对资产价格的影响,本文建立了动态行为资产定价模型。该模型表明在均衡时投资者情绪影响单个情绪投资者的认知价格,而且时变投资者情绪导致了多样的价格变化形式。在多个交易者情况下,投资者情绪影响投资者下期的财富比例,而且股票价格是所有情绪投资者的认知价格的财富比例加权平均值。最后,模型从投资者情绪对财富波动的影响机理出发,阐述了收益长期反转现象,即对价格过度波动异象和收益长期反转之谜给出了部分解释。

To illustrate the variable investor sentiment effects on asset prices, this paper presents a dynamic asset pricing model.The model shows that investor sentiment has a systematic and significant impact on the equilibrium, and time varying sentiments can lead to various price changes. Moreover, the equilibrium stock price is the wealth-share-weighted average of the stock prices that would prevail in an economy with one sentiment investor only. Finally,the model expounds the benefits long-term reversal phenomenon based on investor sentiment on the fluctuation of wealth mechanism. The model offers a partial explanation for the financial anomalies of excessive volatility and benefits long-term reversal.