经济周期、投资者心理偏差与资产定价

发布时间：2018-12-30 15:05

【摘要】：新兴的行为资产定价理论存在的重大缺陷是未全面、系统地研究投资者心理偏差的变动机理和行为偏差的形成根源,以及它们对资产定价的影响,从而削弱了模型的解释力。投资者心理偏差随经济周期动态变化,不同周期阶段下呈现出不同态势(方向或强度),使得人们相应产生各种非理性程度不一的投资预期,进而导致资产价格偏离基础价值。而这种偏离又会反作用于投资者心理偏差与经济周期波动,从而相互影响,不规则地循环反复。文章将投资者心理偏差置于经济周期这一宏观背景下,提出"经济周期-心理偏差-行为偏差-资产定价"的研究新思路,以期揭示心理偏差影响下投资者行为与资产定价之间的作用与反作用机理,打开"心理偏差-资产定价"的"过程黑箱"。
[Abstract]:The major defect of the emerging behavioral asset pricing theory is that it is not comprehensive. This paper systematically studies the changing mechanism of investor psychological bias and the origin of behavioral bias, and their influence on asset pricing, which weakens the explanatory power of the model. With the dynamic change of the economic cycle, investors' psychological bias presents different trends (direction or intensity) in different cycle stages, which makes people produce various irrational investment expectations, which leads to the deviation of asset price from the basic value. And this deviation will counteract investors' psychological deviation and economic cycle fluctuation, and thus affect each other and cycle irregularly. This paper puts investor psychological bias under the macro background of economic cycle, and puts forward a new research idea of "business cycle-psychological deviation-behavior deviation-asset pricing". The purpose of this paper is to reveal the action and reaction mechanism between investor behavior and asset pricing under the influence of psychological bias, and to open the "process black box" of "psychological deviation-asset pricing".
【作者单位】：广东商学院会计学院;武汉理工大学管理学院;
【基金】：国家社科基金项目(10CGL043,08BJY012) 中国博士后科学基金项目(20090461016)的阶段性研究成果财政部全国会计领军(后备)人才培养工程的支持
【分类号】：F224;F830.59;F830

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