基于噪音交易者的风险资产定价模型及其应用  

Risk asset pricing model and its application in the Chinese stock market based on noise traders

作　　者：陈其安[1] 赖琴云[1] 陈亮[1] 张媛[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《系统工程理论与实践》2010年第3期385-395,共11页Systems Engineering-Theory & Practice

基　　金：中国博士后科学基金(20070420720);国家自然科学基金(70772100)

摘　　要：放宽DSSW模型中的风险资产股利为常数和噪音交易者心目中的股利变化是一个纯粹正态分布随机过程的假设条件,分别构建了只有理性投资者和存在噪音交易者两种情况下的股票市场风险资产定价模型,并在对所建立的两类模型及其经济意义进行比较分析的基础上研究了噪音交易者对股票市场风险资产定价及其波动性的影响机理,对中国股票市场2005年6月-2008年8月期间发生的"异常现象"进行了合理解释.研究结果表明:噪音交易者能对股票价格及其波动性产生系统性影响,中国股票市场发生的"异常现象"在很大程度上是由噪音交易者造成的.从研究假设、研究结论以及实践应用等方面对DSSW模型进行了合理的拓展和深化.Loosening the assumption conditions that dividends of the risk asset is a constant and the dividend change in the noise traders＇ mind is just a pure normal distribution random process in the DSSW model,this paper sets up the stock market risk asset pricing models under the circumstances that there is only the rational investor and that there exist noise traders in addition to the rational investors respectively,and discusses the effect mechanisms of noise traders on the the stock market risk asset price and its volatility,and reasonablly explains＂anomaly phenomena＂of Chinese stock market during the period from June of 2005 to August of 2008 on the basis of comparatively analysing the above-mentioned two models and their economic meanings.The results show that noise traders can systematically affect the stock price and its volatility,and＂anomaly phenomena＂of Chinese stock market may largely be caused by noise traders.This paper expands and deepens the DSSW model from three aspects of research hypothesis, results and practical applications.

关 键 词：噪音交易者 风险资产定价 DSSW模型 异常现象 中国股票市场 

分 类 号：F830.91[经济管理—金融学]