认知偏差、异质期望与资产定价  

Cognitive biases,heterogeneous expectation and asset pricing

作　　者：张维[1,2] 赵帅特[1] 

机构地区：[1]天津大学,天津300072 [2]天津财经大学,天津300222

出　　处：《管理科学学报》2010年第1期52-59,共8页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70471062)

摘　　要：借鉴行为金融理论的研究成果,构造了符合一般心理活动的两类投资者,并在这个假设基础上推导出了基于异质期望的股票收益率均衡解析模型.该模型关注认知偏差间的内在联系,认为以预期方式为载体的不同认知偏差的互动作用是影响风险资产定价的深层原因.最后,据此统一解释了股票收益率运动中的若干典型现象.According to some theoretical work in behavioral finance, two kinds of investors are specified with general characteristics on psychological actions. Then, based heterogeneous expectation methods, an analytical equilibrium model of stock return is proposed. This model concerns about the implicit relations among the cognitive biases and attributes the interactive effect from different cognitive biases via investors＇ expectation as the important influential factors over asset pricing. Finally, the model is applied to explain some classical phenomena about stock return.

关 键 词：行为金融 信念 均衡 股票收益率 

分 类 号：F830[经济管理—金融学]