机构情绪、散户情绪与资产定价

发布时间：2018-03-12 07:03

本文选题：行为金融学　切入点：DSSW模型　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：标准金融学理论市场是有效的,价格能够反映风险资产的全部信息；交易的参与者是理性人,将根据效用最大化原则制定自己的投资决策。但随着行为金融学的兴起与发展,“不完全理性”、“投资者情绪”等诸多与有效市场和理性人假设相悖的理论,正在对标准金融学发起挑战。在众多行为金融学模型中,由De Long,Shleifer,Summers和Waldmann在1990年提出的DSSW模型是具有代表性的一个,其在实证的基础上,将市场参与者一分为二认为市场均衡价格由两类对市场噪声产生不同反应的交易者共同决定。模型以国外金融市场为基础进行实证检验,而中国的金融市场目前仍处于起步阶段,能否直接借用该模型解释市场中风险资产的定价,是值得思考的问题。本文以DSSW模型为基础,建立了单向影响和双向影响两类资产定价模型。通过对中国A股市场机构投资者情绪、散户投资者情绪和股价之间的相互影响进行实证检验证明了模型的合理性,并对模型进行了多期扩展。从实证结果来看：沪深两市无论机构投资者还是散户投资者都存在噪声交易的情况；沪市价格泡沫的形成主要源于机构对散户的单向影响,而深市价格泡沫则源于机构与散户的双向影响。本文建立的单向影响资产定价模型与双向影响资产定价模型也能够为后续对DSSW模型的进一步研究提供一些思路。
[Abstract]:The standard financial theory of the market is efficient, the price can reflect the full information of risky assets; the participants in the transaction are rational people, However, with the rise and development of behavioral finance, many theories, such as "incomplete rationality", "investor sentiment" and so on, are contrary to the hypothesis of efficient markets and rational people. A challenge to standard finance is under way. Among the behavioral finance models, the DSSW model proposed by de Longli Shleifer Summers and Waldmann in 1990 is a representative one. The market participants are divided into two parts. The equilibrium price of the market is determined by two types of traders who react differently to the market noise. The model is tested on the basis of foreign financial markets. However, China's financial market is still in its infancy at present. It is worth considering whether the model can be directly used to explain the pricing of risk assets in the market. Based on the DSSW model, this paper establishes two kinds of asset pricing models: unidirectional impact and bidirectional influence. The interaction between the sentiment of retail investors and the stock price proves the rationality of the model. From the empirical results, both institutional investors and retail investors in Shanghai and Shenzhen stock markets have the situation of noise trading; the formation of price bubble in Shanghai stock market is mainly due to the one-way influence of institutions on retail investors. However, the price bubble in Shenzhen market originates from the two-way influence of institutions and retail investors. The one-way impact asset pricing model and the two-way impact asset pricing model established in this paper can also provide some ideas for further research on DSSW model.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

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