投资者情绪分歧、异质解读与资产定价——基于高阶预期视角的研究

Investor Sentiment Disagreement,Heterogeneous Interpretations,and Asset Pricing-Research Based on the Higher-order Expectations

投资者情绪分歧是影响资产定价的系统性因素,然而其发挥作用背后的经济原理尚缺乏剖析。基于高阶预期理论框架构建投资者情绪分歧资产定价模型,从股价和交易量两个角度分析投资者情绪分歧对资产定价的影响,并通过引入异质解读,深入探讨高阶预期和异质解读双重因素驱动下投资者情绪分歧变动引起公共信息市场反应的内在机理。结果表明,投资者情绪分歧对股票价格和交易量的影响分别取决于平均投资者情绪和高阶预期的阶数。进一步研究发现,异质解读负向影响公共信息股价效应,其对公共信息交易量效应的影响依赖于先验投资者情绪分歧水平。基于研究结论,提出完善上市公司信息披露制度和优化投资者结构的政策建议。

Investor sentiment disagreement is a systematic factor affecting asset pricing,but the economic principle behind it has not been analyzed.This paper constructs an asset pricing model of investor sentiment disagreement under the framework of higher-order expectations theory,and analyzes the effect of investor sentiment disagreement on asset pricing from the perspectives of stock price and trading volume.Moreover,this paper further explores the influence mechanism of the change of investor sentiment disagreement,driven by heterogeneous interpretation and higher-order expectation,on market reaction to public information.The results show that,the impact of investor sentiment disagreement on stock price and trading volume depends on the average investor sentiment and the order of higher-order expectations,respectively.Further research shows that heterogeneous interpretation negatively affects the stock price effect of public information,and its influence on the trading volume effect of public information depends on the level of prior investor sentiment disagreement.Based on the conclusions,this paper puts forward the policy suggestions to improve the information disclosure system and optimize the investor structure.