浅析基于投资者情绪两种资产定价模型.docVIP

浅析基于投资者情绪两种资产定价模型 　　摘要：当前，随着对于金融市场实证研究的不断深入，传统金融学以有效市场为核心的部分资产定价模型在实际研究中遇到了许多难以解释的异常状况。而行为金融学的出现，则在这一方面对于传统金融学理论进行了有效的补充。本文着重藉由实证研究介绍了BSV、DHS这两种基于投资者情绪的资产定价模型。BSV模型的研究基于在一连串同向消息刺激下投资者的过度反应，而DHS则是通过投资者的过度自信而带来的过激反应或者反应不足，来解释股票价格短期内的异常波动行为。总之，这二者通过对于投资者情绪的定量分析，弥补了传统金融学理论对于资产价格异常波动时的解释不足。 　　关键词：投资者情绪 过度自信 BSV模型 DHS模型 　　▲▲1. Introduction to behavioral finance 　　1.1. Deficiency of traditional financial theory 　　As a crucial foundation of contemporary financial theory， the efficient market hypothesis （EMH） used to influence most part of investment policies， such as capital asset pricing model and the arbitrage pricing theory model. More exactly， the efficient market means the price of securities on this market could always reflect the change of the market information （Fama 1970）. 　　In the theory， it assumed that the investors are rational enough to make maximum use of the market information. On the other hand， the actions between irrational investors could be neutralized each other， or corrected by the rational arbitrager. Therefore， it could be considered that the trading behavior from irrational investors could not affect the market price of securities. Due to this reason， the traditional pricing model， such as CAPM and APT model did not take the influence of irrational investors into consideration. 　　However， in the practical studies， massive researches showed the contrary result to the EMH theory， which implies that the classical pricing model may not be effective enough in practical， due to the limitation of those assumptions. Which means pricing models based on the traditional financial theory could be less effective in the inefficient market. 　　1.2. The role of behavioral finance 　　To fulfill the gap between traditional financial theory and the reality， behavioral finance focus more on those assumptions which used to be neglected but caused real impact in practice. For example， as complement to the assumption of rational investor， researchers of behavior finance b