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锚定分红下的投资者异质信念与ARCH效应 被引量:1

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摘要 一般认为,风险资产价格的自回归条件异方差效应产生的原因是经济基础的波动性或者由于投资者的有限理性,通过建立没有信息冲击的较为稳定的资产市场上投资者锚定分红的异质信念资产定价模型,发现投资者的信念更新可以解释ARCH效应的产生,而且仅在分红固定时才能使市场达到稳定状态。
作者 陈晓锋
出处 《福州大学学报(哲学社会科学版)》 CSSCI 2008年第2期43-46,共4页 Journal of Fuzhou University(Philosophy and Social Sciences)
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参考文献2

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  • 2[4]Brock,W.A.& Hommes,C.H,"Heterogeneous beliefs and routes to chaos in a simile asset pricing model",Journal of Economic Dynamics and Control Vol.22,no.8-9 (1998),pp.1235-1274.

同被引文献14

  • 1许年行,吴世农.我国上市公司股权分置改革中的锚定效应研究[J].经济研究,2007,42(1):114-125. 被引量:83
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  • 5Brian Wansink, Robert J.Kent,Stephen J.Hoch.An Anchoring and Adjustment Model of Purchase Quantity Decisions [ J ].Journal of Marketing Research,1998,Vol.35,No.1 (Feb.,1998):71-81.
  • 6Brown,P.,Chua,A.,Mitchell,J.D.The Influence of Cultural Factors on Price Clustering:Evidence from Asia-Pacific Stock Markets [ J ]. Pacific-Basin Finance Journal,2002,10:307-332.
  • 7Gilovich, T., Griffin,D., and Kahneman, D. Heuristics and Biases I J ].Cambridge University Press,2002, pp. 120-138.
  • 8X.Frank Zhang.lnformation Uncertainty and Stock Returns [J]. The Journal of Finance,2004,Malluscript 1149.
  • 9Kenji Kutsuna,Janet Kiholm Smith & Richard L.Smith.Public Information,IPO Price Formation,and Long-run Returns:Japanese Evidence[ J].The Journal of Finance,2007,Vol.64:505-546.
  • 10Kee-Hong Bae and Wei Wang.What's in a "China"Name?A Test of Investor Sentiment Hypothesis[J].working paper.2010.

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