BSV、DHS等模型中资产定价与模糊不确定性下资产定价在逻辑结构上的一致性

发布时间：2018-05-17 04:23

本文选题：反应不足 + 反应过度　；参考：《中国管理科学》2017年06期

【摘要】：虽然BSV、DHS等行为金融模型对动量效应的微观机制进行了研究,但这些行为理论模型存在着投资者行为逻辑假设的非一致性问题。首先,本文以模糊不确定性下建立起的资产定价模型为参照物,将BSV、DHS等理论模型中的资产定价与模糊不确定性下资产定价进行了对比研究发现,这些行为金融资产定价都与模糊不确定性下资产定价具有数学结构上的一致性。其次,根据行为决策学、心理学与神经科学等最新理论的成果表明,BSV、DHS等行为金融模型中的投资者行为模式也可从模糊不确定性的概念框架下得到解释。通过以上两方面的探讨,可以看出BSV、DHS等理论模型中的资产定价与模糊不确定性下资产定价具有逻辑结构上的一致性,可将BSV、DHS等行为金融模型中的资产定价置于一个更为基础的统一逻辑框架,试图解决行为金融模型中投资者行为逻辑假设的非一致性问题。
[Abstract]:Although BSVDHS and other behavioral financial models have studied the microscopic mechanism of momentum effect, these behavioral theory models have the problem of inconsistency of investors' behavior logic hypothesis. Firstly, taking the asset pricing model established under fuzzy uncertainty as reference, this paper compares the asset pricing in BSVDHS and the asset pricing under fuzzy uncertainty. These behavioral financial asset pricing and fuzzy uncertainty asset pricing have mathematical structure consistency. Secondly, according to the results of the latest theories such as behavioral decision making, psychology and neuroscience, it is shown that the investor behavior patterns in behavioral financial models such as BSVDHS can also be explained by the concept of fuzzy uncertainty. Through the above two aspects, we can see that the asset pricing in the theoretical model such as BSVD DHS has the logical structure consistency with the asset pricing under fuzzy uncertainty. The asset pricing in behavioral financial models such as BSVDHS can be put into a more basic unified logical framework to solve the inconsistency of investors' behavioral logic assumptions in behavioral financial models.
【作者单位】：西南交通大学经济管理学院;
【基金】：教育部长江学者和创新团队发展计划项目(PCSIRT0860);教育部人文社会科学研究一般项目(08JA790104)
【分类号】：F830.91

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