基于异质信念的债券定价研究

发布时间：2018-07-17 08:58

【摘要】：随着金融市场发展,经典资产定价理论已经不能解释金融市场中存在的种种异象,并且其严苛的模型假设也与实际金融市场相去甚远,于是以行为金融学理论为基础的异质信念资产定价研究兴起了,涌现出的大量相关研究对于解释目前金融市场中的现象具有非常重要的意义。鉴于目前相关研究多基于股票定价以及中国债券市场良好的发展前景,异质信念下的债券定价研究还是具有非常重要的现实意义的。本文旨在将行为金融理论引入到债券定价模型中,研究投资者异质信念下的债券定价模型。首先,本文从理论研究和实证研究两个方面,对异质信念下的资产定价研究进行了综述,在此基础上,构建了投资者异质信念下的债券定价模型,并分析了债券风险、投资者乐观主义对债券价格偏差、换手率及价格波动率的影响。结果表明：在两期模型中,第二期中债券的均衡价格要分两种情况：当两类投资者信念相近时,均衡价格体现为两类投资者信念的均值减去风险折价,当两类投资者异质信念较大时,均衡价格体现为较乐观者的信念减去风险折价；第一期中债券的均衡价格等于第二阶期中均衡价格的期望减去风险折价；其他条件不变的情况下,随债券风险增大,债券的价格偏差、换手率和价格波动率都增大,随投资者乐观程度的增大,债券价格偏差和换手率增大,但是此时价格波动率会减小。
[Abstract]:With the development of the financial market, the classical asset pricing theory can not explain the anomalies in the financial market, and its harsh model hypothesis is also far from the actual financial market. Therefore, the study of heterogeneous belief asset pricing based on behavioral finance theory is rising, and a large number of relevant studies have emerged. The phenomenon in the former financial market is of great significance. In view of the current related research based on the stock pricing and the good prospects for the development of the Chinese bond market, the study of bond pricing under the heterogeneous belief is of great significance.
The purpose of this paper is to introduce the behavioral finance theory into the bond pricing model and study the bond pricing model under the heterogeneous belief of investors. First, this paper makes a summary of the study of asset pricing under the heterogeneous belief from two aspects of theoretical and empirical research. On this basis, we build a bond pricing model under the investor's heterogeneous belief. The effect of bond risk, investor optimism on bond price deviation, turnover rate and price volatility is analyzed. The results show that in the two phase model, the equilibrium price of the second period bond is divided into two cases: when the two types of investor's belief are close, the equilibrium price is reflected as the mean of the two type of investor's belief minus the risk discount. When the two types of investors have large heterogeneous beliefs, the equilibrium price is reflected by the depreciation of the more happy viewer's belief; the equilibrium price in the first phase is equal to the expectation of the equilibrium price in the second order minus the risk discount; with the increase of the other conditions, the price deviation, turnover rate and price fluctuation of the bond with the increase of the bond risk. As the investor's optimism increases, the bond price deviation and turnover rate increase, but the price volatility will decrease at this time.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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