基于投资者情绪与选美竞赛的资产定价模型研究

发布时间：2018-02-12 04:13

本文关键词： 行为金融投资者情绪选美竞赛资产定价模型　出处：《华南理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：凯恩斯富有寓意地将投资决策比作选美竞赛，这一经典比喻为各界人士高度认同，然而早期学术界却未见将选美竞赛思想应用到资产定价模型研究中。近年来陆续有学者以选美竞赛和理性预期为基础研究资产定价模型，并指出高阶期望对资产价格的有重要影响。但是，众多金融异象的涌现导致理性金融理论的完备性饱受质疑，自此行为金融学产生，投资者情绪成为研究资产定价的系统性影响因素。近期越来越多的实验和实证研究结果均证明了投资者情绪对资产价格有重要的影响。因此，结合选美竞赛和投资者情绪两个切入点研究资产定价模型，必定有助于我们理解资产价格的形成。本文从选美竞赛思想出发，指出投资决策有高阶期望，并从投资者情绪角度刻画投资者的非理性行为，在此基础上构建了静态和动态资产定价模型，继而对所求解的模型进行数值模拟研究资产价格形成机理，并对资产价格偏离基础价值、长期反转和投资者长期生存性给出有效的解释。基于投资者情绪与选美竞赛的静态定价模型，通过数值模拟分析得出的结论有三方面。一是模型方面，在刻画价格变化多样性时，情绪模型优于理性模型，能够解释价格偏离价值；二是资产价格特征分析方面，投资者情绪与资产价格有非对称的正向联动性，且低落情绪对资产价格的影响要小于高涨情绪，高阶期望的存在将减小价格波动，并抑制情绪影响价格变动；三是在异质期望市场中，选美竞赛策略投资者大部分情况下能够占据优势，获得更高的财富并能够生存下来。由于情绪具有易变性，本文把静态模型拓展到动态模型，研究结论同样有三方面。一是拓展了静态模型的结论，证明静态模型结论具有一定的稳健性；二是时变投资者情绪导致多样的价格变化形式，能解释价格长期反转现象；三是存在高阶期望的模型中1期的情绪对2期均衡价格的影响要大于2期情绪的影响，，随着2期情绪的上涨，1期均衡价格在2期均衡价格中的作用将越来越小。
[Abstract]:Keynes meritfully likened investment decisions to beauty contests, a classic metaphor that people in all walks of life highly agree with. However, in early academic circles, the idea of beauty pageant has not been applied to the study of asset pricing models. In recent years, some scholars have studied asset pricing models based on pageant contests and rational expectations. It is pointed out that higher expectations have an important impact on asset prices. However, the emergence of a large number of financial anomalies has called into question the completeness of rational financial theory, and since then behavioral finance has come into being. Investor sentiment has become a systemic factor in the study of asset pricing. More and more recent experimental and empirical results have proved that investor sentiment has an important impact on asset prices. Combining beauty pageant and investor sentiment to study asset pricing model will help us understand the formation of asset price. Based on the idea of beauty pageant, this paper points out that there are higher expectations in investment decision, and depicts the irrational behavior of investors from the perspective of investor sentiment. On this basis, the static and dynamic asset pricing models are constructed. Then the model is simulated to study the formation mechanism of asset price, and an effective explanation is given for the deviation of asset price from the basic value, the long-term reversal and the long-term viability of investors. Based on the static pricing model of investor sentiment and beauty pageant, there are three conclusions through numerical simulation. One is that the emotional model is superior to the rational model in describing the variety of price changes. It can explain the price deviation from the value; second, in the analysis of asset price characteristics, investor sentiment and asset price have asymmetric positive linkage, and the impact of low sentiment on asset price is smaller than that of high emotion. The existence of higher expectations will reduce price volatility and restrain emotional influence on price changes. Third, in heterogeneous expectation markets, beauty contest strategy investors will be able to occupy an advantage, obtain higher wealth and survive in most cases. Because of the variability of emotion, this paper extends the static model to the dynamic model, the conclusion of the study also has three aspects: first, the conclusion of the static model is extended to prove that the conclusion of the static model has certain robustness; The other is that the time-varying investor sentiment leads to a variety of price change forms, which can explain the long-term price reversal phenomenon; third, in the model with higher expectations, the influence of the first period emotion on the second period equilibrium price is greater than that of the second period mood. As the mood of the second period rises, the equilibrium price of the first period will play a smaller and less important role in the second period equilibrium price.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.59;F224

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