异质信念、投资者情绪与资产定价研究综述

A Literature Review of Heterogeneous Belief,Investor Sentiment and Asset Pricing

异质信念和投资者情绪是行为金融研究中最活跃的两个分支。现有文献绝大多数是分别研究异质信念和投资者情绪对资产定价的影响问题。本文根据相关研究,提出将异质信念和投资者情绪结合起来、研究其对资产定价综合影响的观点。为此,本文分别综述了异质信念和投资者情绪对资产定价影响的文献,主要包括异质信念和投资者情绪的定义、理论模型、代理指标选择以及对资产定价影响的应用。在此基础上提出了异质信念与投资者情绪相互作用对资产定价综合影响途径的简单模型,希望能够借此更好地对照两者的异同和联系,为今后将两者结合起来进行更深入的理论和实证研究提供思路和启发。

In behavior finance, heterogeneous belief and investor sentiment are widely used in analyzing financial anomalies. Current literature studies separately the effects of heterogeneous belief and investor sentiment on asset pricing. According to related studies, this paper puts forth that heterogeneous belief and investor sentiment should be combined to study the integrated effects on asset pricing. Hence, this paper surveys separately the literature about the effects of heterogeneous belief and investor sentiment on asset pricing, including mainly the definitions, theoretical models, the selection of proxy indexes and the application effects on asset pricing. Accordingly, it puts forward a simple model of the integrated effects of the interaction between heterogeneous belief and investor sentiment on asset pricing. We hope that it will be favor to contrast the difference and relation between heterogeneous belief and investor sentiment, and to provide some inspiration about the theoretical and empirical study of combining heterogeneous belief and investor sentiment.