投资者情绪影响下资本资产定价的区制性

The Regime Switching of Capital Asset Price Based on the Investor Sentiment

在外生的投资者情绪影响下,通过对投资组合的有效边界及组合风险进行分析,推导出基于投资者情绪的资本资产定价模型。结果表明:投资者情绪是资产定价的系统性因子,并且投资者情绪对资产定价的冲击影响具有区制性——投资者情绪的影响在两个临界值划分而成的三个区制内有着各自不同的模式。最后,基于三区制门限回归模型与单因子模型的对比研究,实证检验了投资者情绪的影响存在区制性这一结论。

This paper proposes an asset pricing model based on the exogenous investor sentiment,derived from the efficient frontier of the portfolio and the composition of portfolio risk.The results show that investor sentiment is the key factor of asset price,and that there is regime switching in the shock to investor sentiment about asset price.Two critical values divide investor sentiment into three regimes,and the shocking model in each regime is different.Finally,an empirical study is made to test the regime switching in the shock to investor sentiment,through comparative study on the threeregime threshold regression model and the single factor regress model.