双寡头投资的动态资产定价模型  

A Dynamic Asset Pricing Model of Two Kinds of Investors

作　　者：郭文英[1] 韩立岩[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《管理评论》2005年第1期9-12,共4页Management Review

基　　金：国家自然科学基金资助项目(70271010)

摘　　要：经济代表人的存在是以往资产定价模型的主要假设。但是行为金融学的研究表明,由于决策理念与心理特征的差异,人们对于信息的判断可以大相径庭,进而他们的相异的决策行为必将影响金融产品的价格,也即异质理念是我们在资产定价时必须考虑的。本文在BSV模型的基础上,结合异质理念给出两类不同投资者的决策矩阵和状态转移矩阵,进而得到双寡头投资的动态资产定价模型,并给出此模型的金融学意义。Most asset pricing models suppose that there is a representative agent who can represent all investors. But a lot of researches in behavior finance show that investors often think of the same information differently due to their different beliefs and psychological characters. So heterogeneous behavior must affect the prices of financial products. It means that heterogeneity should be considered when we discuss prices of assets. Based on BSV model and taking heterogeneity into consideration, this paper provides two decision matrices under different time and two transition matrices between two stages of two investors. After that the paper offers a dynamic asset pricing model of two kinds of investors and explains it from the financial point of view.

关 键 词：有效市场假说 EMH 双寡头投资 动态资产定价模型 股票市场 行为金融学 预期收益率 

分 类 号：F224[经济管理—国民经济]