行为资产定价理论综述

A Survey of Behavior Asset Pricing Theory

如何刻画投资者行为是资产定价理论 50年来发展的主要脉络。在消费资本资产定价模型基础上 ,通过修正投资者的效用函数而发展起来的行为资产定价理论 ,对投资者行为的认识达到了新的高度。本文构造了行为资产定价的一般均衡研究框架 ,指出了此框架与行为金融理论的区别 ,并在此框架下 ,综述了当前流行的行为资产定价模型。文章最后分析了行为资产定价理论的下一步发展方向。

How to describe the investors' behavior is the main clue of asset pricing theory in these 50 years. The behavior asset pricing theory are proposed by modifying the utility function in CCAPM model, explores the investors' behavior thoroughly. This paper constructs a general equilibrium framework for behavior asset pricing models, studies the differences between the framework and behavior finance, and uses the framework to summarize some behavior asset pricing models. At last, this paper analyzes the direction of behavior asset-pricing models.