异质信念对证券价格的影响——共识与分歧

Impact of Heterogeneous Beliefs on Security Price:Agreements and Disagreements

从异质信念视角关注证券价格逐渐成为主流金融学研究的焦点。一方面支持者坚定认为,作为金融市场重要原始特征,通过先验异质信念、后验异质信念和异质信念演化,投资者信念分歧能够影响证券价格,并且影响机理在不同制度环境中存在差异;另一方面质疑者则坚持,由于实证结果的不一致性,以及异质信念与风险测度模糊,由此产生的结论有效性备受质疑。本文将重点从异质信念形成机制、异质信念对证券价格的影响机理、效果以及对异质信念测度的质疑入手,详细梳理现有文献关于异质信念对证券价格影响的不同观点和最新成果,并在此基础上指出未来可能拓展的研究方向。

Asset-pricing from the perspective of heterogeneous beliefs is rising to be the focus of mainstream finance.On one hand,divergence of opinions among investors,as an important primal feature in financial market,can influence asset price in different short sale constraints by priori heterogeneity,posterior heterogeneity and evolution of heterogeneous beliefs.On the other hand,opponents claim that the measure of heterogeneous beliefs is biased because of disagreement among the implications of stock return for different proxies of heterogeneous beliefs,and the confusion between heterogeneous beliefs and risk.This paper analyzes the formations,mechanisms,economic consequences,and challenges of heterogeneous beliefs role of asset price,and the contradicted views and latest achievement on that from available literatures.Based on which,this paper points out the future directions.