异质信念的资产价格效应研究

发布时间：2018-01-15 13:43

本文关键词：异质信念的资产价格效应研究　出处：《合肥工业大学》2014年硕士论文　论文类型：学位论文

更多相关文章： 异质信念 资产价格 IPO抑价 DISP

【摘要】：随着金融市场的发展，以有效市场假说和理性经济人为基石的传统金融资产定价理论受到越来越多金融异象的挑战。以严格假定条件为前提的传统资本定价理论和资产组合理论很难再被用来解释金融市场上一些普遍存在的金融异象，为了解释这些难题学者们开始通过放松一部分假设来对传统的理论模型进行修正和完善，得到了不少能够解释金融市场异象的新模型。在二十世纪五十年代之后，，以心理学相关内容为基础的异质信念资产定价模型得到了快速的发展，研究成果丰硕。但由于在合适的异质信念衡量指标的选择和数据的可得性上存在困难，国内相关领域的研究还缺乏足够的实证支持。然而我国证券市场由于存在数量庞大的个人投资者，异质信念问题十分突出，因此研究中国证券市场上异质信念对资产价格的影响具有重要的理论和实践意义。论文基于现有的国内外理论分析和实证模型研究，根据我国证券市场的运行特点选取并建立合适的投资者异质信念的代理变量，以2009年股改后我国A股市场上首次发行的股票为样本，检验了投资者异质信念对IPO抑价的影响。首先，文章分析了投资者异质信念的形成机制，并通过HAM模型的推导过程揭示了异质信念对资产价格的作用渠道，在此基础上提出了本文的研究假设；然后选取了分析师预测离差(DISP)和新股申购的中签率作为投资者异质信念的代理变量并利用经验数据实证检验了投资者异质信念对资产价格的影响方式和程度。研究结果表明：投资者异质信念产生的来源有多种，有着不同的作用机制，对资产价格产生不同的影响；投资者的异质信念对IPO抑价有着正向的作用，即异质信念的存在会导致IPO抑价率的上升，且一般来说投资者的异质信念程度越高，股票价格被高估的程度也就越大。
[Abstract]:With the development of financial markets. The traditional financial asset pricing theory based on the efficient market hypothesis and rational economic man is challenged by more and more financial anomalies. It is used to explain some common financial anomalies in financial markets. In order to explain these problems, scholars begin to modify and perfect the traditional theoretical model by relaxing some assumptions. After 1950s, heterogeneous belief asset pricing model based on psychology has been developed rapidly. The research is fruitful, but there are some difficulties in the selection of appropriate heterogeneous belief measurement indicators and the availability of data. However, due to the large number of individual investors, the problem of heterogeneous beliefs is very prominent in China's securities market. Therefore, it is of great theoretical and practical significance to study the influence of heterogeneous beliefs on asset prices in China's securities market. Based on the existing domestic and foreign theoretical analysis and empirical model research, according to the operating characteristics of the securities market in China, we select and establish the appropriate agent variables of investors' heterogeneous beliefs. This paper tests the influence of investor heterogeneity belief on IPO underpricing based on the first issued stocks in China's A-share market after the stock reform in 2009. Firstly, the paper analyzes the formation mechanism of investor heterogeneity belief. Through the derivation of HAM model, the paper reveals the influence of heterogeneous beliefs on asset prices, and puts forward the research hypotheses of this paper. Then the analyst forecast deviation (DISP) was selected. As the proxy variable of investor heterogeneity belief and empirical data, the paper tests the influence of investor heterogeneity belief on asset price. The results show that:. Investors' heterogeneous beliefs come from a variety of sources. Have different action mechanism, have different influence on asset price; Investors' heterogeneity belief has a positive effect on IPO underpricing, that is, the existence of heterogeneity belief will lead to the increase of IPO underpricing rate, and generally speaking, investors' heterogeneity degree is higher. The greater the degree of overvaluation of stock prices.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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