考虑异质信念和相对表现的资产定价研究

发布时间：2018-05-11 15:16

本文选题：资产定价 + 异质信念　；参考：《浙江大学》2017年博士论文

【摘要】：经典的资产定价理论以具有代表性的家庭或个人投资者作为分析的起点。但在现代的金融市场中,大量财富并不由投资者自行管理,而是由专业的机构代为投资。传统的行为资产定价模型则往往采用单一的代表性个体来描述所有的代理投资机构,忽视了机构投资者间在意相对表现而出现的竞争行为。基于上述考虑,本文基于纳什博弈框架建立了考虑投资者异质信念和相对表现的资产定价模型。模型假定存在两类具有信念分歧的机构投资者,并各用一个代理人来刻画其投资行为。两个代理人会因为相对于对手的业绩表现在期末时刻收到相应的财富奖励或者惩罚。异质信念的存在会影响市场均衡状态下的股票价格,使之偏离真实价值。异质信念还将推高股票的波动率,使得代理人认同的风险的市场价格出现差异并呈现反经济周期的特点。在市场均衡时,乐观的代理人总是向悲观的代理人举债来筹集资金,以便更多地买入风险资产。代理人会因为在意相对表现而出现博弈投资行为。当一方代理人暂时赢得了市场时,对相对表现的顾虑会削弱胜利者对市场的主导作用。而此时,已经退出交易的失败者则会因为相对表现的考虑,更倾向于回归市场。当两个代理人在意相对表现的程度足够强时,他们会极端地厌恶在市场竞争中落败,进而在投资策略上出现高度的相似性。利用中国上市公司个股的周度交易数据,本文实证分析了异质信念对股价的短期影响。通过投资组合分析方法和Fama-MacBeth截面回归方法,本文验证了存在严格卖空限制时投资者异质信念越高的股票当周收益率越高,而异质信念最高股票下周的收益率会表现出明显的反转。而当股票被允许卖空时,本文发现异质信念与当周收益率的正相关性并没有受到影响,但高异质信念股票短期内的股价下跌已经不再显著。基于中国市场证券投资基金季度持仓数据,本文实证分析了机构投资者羊群行为及其对股价的影响,并首次考虑了异质信念在其中的作用。实证结果显示,在2006年到2015年间的中国市场上,机构投资者表现出了显著的羊群行为,并且买方羊群程度要大于卖方。通过引入投资者异质信念,本文发现随着投资者信念分歧程度的上升,机构羊群行为的程度呈现先下降后升高的特点。机构投资者在高异质信念股票上的买方羊群行为扰乱了股价稳定,使得价格在经历当期上升后立即在下一期跟随一个下降的过程。而低异质信念股票上的买方羊群行为在使得股票价格上升后不会在下期伴随有显著的下降过程。此外,卖方羊群行为将对股价产生持续影响,并没有引起股价的修正。
[Abstract]:Classical asset pricing theory takes representative family or individual investors as the starting point. But in modern financial markets, a lot of wealth is not managed by investors themselves, but by professional institutions. The traditional behavioral asset pricing model often uses a single representative individual to describe all agency investment institutions, ignoring the competitive behavior of institutional investors who care about relative performance. Based on the above considerations, an asset pricing model considering investors' heterogeneous beliefs and relative performance is established based on Nash game framework. The model assumes that there are two types of institutional investors with different beliefs and each uses an agent to characterize their investment behavior. Both agents receive a corresponding wealth reward or punishment at the end of the year for their performance in relation to the opponent's performance. The existence of heterogeneous beliefs will affect the stock price in the equilibrium state of the market and make it deviate from the real value. The heterogeneity belief will also push up the volatility of the stock, make the market price of the risk that the agent agrees to appear the difference and present the characteristic of anti-business cycle. In market equilibrium, optimistic agents always borrow from pessimistic agents to raise funds to buy more risky assets. Agents will be concerned about relative performance and the emergence of game investment behavior. When an agent temporarily wins the market, concern about relative performance weakens the victor's dominance of the market. At this point, losers who have withdrawn from trading tend to return to the market because of relative performance considerations. When two agents care about the degree of relative performance strong enough, they will extremely hate losing in the market competition, and then there is a high degree of similarity in investment strategies. Based on the weekly trading data of individual stocks of Chinese listed companies, this paper empirically analyzes the short-term influence of heterogeneous beliefs on stock prices. Through portfolio analysis and Fama-MacBeth cross section regression, this paper verifies that the higher the investors' heterogeneity belief is, the higher the weekly return is when there are strict short selling restrictions. And heterogeneity belief highest stock returns next week will show a clear reversal. When the stock is allowed to short sell, we find that the positive correlation between heterogeneity belief and the week's return is not affected, but the stock price decline of high heterogeneity belief in the short term is no longer significant. Based on the quarterly position data of securities investment funds in China, this paper empirically analyzes the herding behavior of institutional investors and its influence on stock price, and for the first time considers the role of heterogeneous beliefs. The empirical results show that between 2006 and 2015, institutional investors showed significant herding behavior, and the herd size of buyers was greater than that of sellers. By introducing investors' heterogeneous beliefs, this paper finds that the degree of institutional herding behavior decreases first and then increases with the increase of the degree of divergence of investors' beliefs. The herding behavior of institutional investors in highly heterogeneous stocks disturbs the stability of the stock price and causes the price to follow a process of decline in the next period immediately after the current period rises. However, the buyer's herding behavior in the low heterogeneity belief stock will not be accompanied by a significant decline in the next period after the stock price rises. In addition, the seller's herd behavior will have a lasting impact on the stock price, and no correction to the stock price.
【学位授予单位】：浙江大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.51

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