摘要
自20世纪80年代开始迅速发展起来的行为金融理论认为,作为具有丰富心理活动的真实的人,金融市场中的投资者普遍存在各种认知偏差、情绪偏差和意志偏差,从而导致了他们的投资决策偏差和金融资产的定价偏差,投资者的噪声交易能够对资产价格产生重要影响。本文基于噪声交易模型的框架构建了一个包含理性套利者、信息挖掘者和动量交易者这三类异质投资者在内的噪声交易理论分析模型,在模型中引入了一系列与投资者行为特征相对应的重要行为参数,然后推导出由这三类异质投资者共同决定的风险资产均衡价格,最后通过灵敏度分析来综合讨论这三类异质投资者的一些重要行为参数对均衡价格的影响。结果表明,理性套利者确实能够起到稳定市场的作用,但是当噪声交易者在市场中的比例较大时,资产价格会较大程度地偏离其基本价值。
Behavioral finance theory has grown rapidly since 1980s. This theory proposes that investors in financial markets, which are connected to abundant psychological activities, are universally of various kinds of cognitive bias, sentimental bias and volitional bias, thus decision-making bias and pricing bias consequently rise, and noisy trading can have a remarkable impact on asset price. Based on the frame- work of DSSW model, a noise trading model involving three kinds of heterogeneous investors, namely arbitrager, information miner and mo- ment trader, is constructed in this paper, and a series of important behavioral parameters are incorporated in this model. Then the equlibrium price of the risky asset is derived. And finally the impact of some important behavioral parameters on equlibrium price of the risky asset is discussed by use of sensitivity analysis. Results indicate that arbitragers are actually able to play the role of stabilizing the market, but when the proportion of noisy traders in the market is quite large, the price of the risky asset will heavily deviate from its fundamental value.
出处
《技术经济与管理研究》
北大核心
2010年第2期3-7,共5页
Journal of Technical Economics & Management
基金
中国博士后科学基金(20090450075)
上海市自然科学基金(09ZR1421900)
关键词
异质预期
噪声交易
波动
灵敏度分析
Heterogeneous expectation
Noise trading
Volatility
Sensitivity analysis
