认知偏差、异质期望与资产定价

发布时间：2018-02-28 10:47

本文关键词： 行为金融理论信念均衡股票收益率认知偏差投资者类型模型反应不足风险资产资产定价　出处：《管理科学学报》2010年01期 　论文类型：期刊论文

【摘要】：借鉴行为金融理论的研究成果,构造了符合一般心理活动的两类投资者,并在这个假设基础上推导出了基于异质期望的股票收益率均衡解析模型.该模型关注认知偏差间的内在联系,认为以预期方式为载体的不同认知偏差的互动作用是影响风险资产定价的深层原因.最后,据此统一解释了股票收益率运动中的若干典型现象.
[Abstract]:Referring to the research results of behavioral finance theory, this paper constructs two kinds of investors who accord with the general psychological activities. On the basis of this hypothesis, an analytical model of stock return equilibrium based on heterogeneity expectation is derived, which focuses on the internal relationship between cognitive bias. It is considered that the interaction of different cognitive deviations based on expectation is the deep reason that affects the pricing of risky assets. Finally, some typical phenomena in the stock return movement are explained uniformly.
【作者单位】：天津大学;天津财经大学;
【基金】：国家自然科学基金资助项目(70471062)
【分类号】：F224;F830.9

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