我国股市投资者异质信念对资产收益的影响研究

发布时间：2018-09-19 06:14

【摘要】：随着金融市场的发展，以有效市场假说为基础，以资本资产定价理论和现代资产组合理论为支柱的传统金融理论受到越来越多金融异象的挑战，学者们通过放松一部分假设来对传统理论模型进行修正和完善，其中很关键的一点便是投资者的同质信念假设。众多研究表明，市场上投资者的信念具有显著的异质化特征，尤其对于以庞大而分散的个人投资者为主体的中国股票市场而言，个人投资者由于自身情况和占有信息等方面的不同，不同个体的信念往往各不相同，在存在卖空限制的条件下，投资者的异质信念会影响资产均衡价格的形成，导致股票价格的高估。虽然近年来异质信念资产定价理论得到较快发展，，但受制于指标的选择和数据的获取，国内该领域的研究还缺乏足够的实证支持。鉴于此，本文在现有国内外理论模型和实证研究的基础上，针对我国股市的运行特点，选取并构建合适的投资者异质信念代理变量，检验我国A股市场上投资者异质信念对股票收益的影响。首先，文章分析了投资者异质信念的形成原因和对资产价格的作用机制，并在此基础上提出了研究的理论假设。其次，本文探讨了可以用来度量投资者异质信念的几类指标和各自的优缺点，然后选取额外换手率和订单簿斜率同时创新性地采用主动性买卖盘差异和买卖委托平均价差作为投资者异质信念的代理变量。作为主体的实证部分则分别运用资产组合分析和多元回归分析检验了不同程度的卖空限制条件下，我国A股市场投资者异质信念对股票收益的影响方式和程度。实证结果表明，在存在严格的卖空限制下，投资者的异质信念程度越大，导致股票当期价格被高估的程度越大，使得当期收益率越高，而随着信息充分传递，股价逐渐向真实价值回归，股票的未来收益率越低；当融资融券交易的开展放松了卖空限制后，异质信念对股票预期收益的负向影响程度减弱。
[Abstract]:With the development of the financial market, the traditional financial theory based on the efficient market hypothesis and the capital asset pricing theory and the modern asset portfolio theory are challenged by more and more financial anomalies. Scholars modify and perfect the traditional theoretical model by relaxing some assumptions, among which the key point is the assumption of investors' homogeneity belief. Many studies have shown that investors' beliefs in the market are characterized by significant heterogeneity, especially for the Chinese stock market, which is dominated by large and dispersed individual investors. Individual investors often have different beliefs because of their own situation and possession of information. Under the condition of short selling restriction, investors' heterogeneity will affect the formation of equilibrium price of assets. An overvaluation of stock prices. Although the theory of heterogeneous belief asset pricing has developed rapidly in recent years, it is constrained by the choice of indicators and the acquisition of data. The domestic research in this field is still lack of sufficient empirical support. In view of this, based on the existing domestic and foreign theoretical models and empirical research, according to the operating characteristics of China's stock market, this paper selects and constructs appropriate investor heterogeneous belief agent variable. To test the influence of investors' heterogeneity belief on stock returns in A-share market of China. First of all, this paper analyzes the formation of investors' heterogeneous beliefs and the mechanism of their effects on asset prices, and puts forward the theoretical assumptions on this basis. Secondly, this paper discusses several kinds of indicators and their advantages and disadvantages that can be used to measure investors' heterogeneous beliefs. Then, the extra turnover rate and the order book slope are selected as the proxy variables of investors' heterogeneity beliefs. The empirical part as the main part uses portfolio analysis and multiple regression analysis to test the influence of investors' heterogeneity beliefs on stock returns under different degree of short selling restriction. The empirical results show that under the strict short selling restriction, the greater the degree of heterogeneity belief of investors, the greater the overvaluation of the current stock price, and the higher the yield of the current period, and the more information is transmitted. The stock price gradually returns to the real value and the future yield of the stock is lower; when the short selling restriction is relaxed the negative influence of the heterogeneity belief on the expected return of the stock is weakened.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【相似文献】