经济周期、前景理论与BHS资产定价模型修正  

Business Cycle,Prospect Theory and Modification of BHS Model

作　　者：张荣武[1] 赵行亮[1] 

机构地区：[1]广东商学院会计学院,广东广州510320

出　　处：《财经理论与实践》2011年第4期51-55,共5页The Theory and Practice of Finance and Economics

基　　金：国家社科基金项目(10CGL043);中国博士后科学基金项目(20090461016);中央财政支持地方高校发展专项资金项目

摘　　要：行为资产定价研究引起了国内外的广泛关注,但由于现实资本市场中诸多异象的存在,导致人们对经典资产定价模型的质疑。经济周期波动会对投资者的理性产生显著影响,而非理性投资可能引发金融危机。据此,引入经济周期这一独特视角,剖析前景理论对资产定价的作用机理;提出相关假设,对BHS模型进行修正,以适应经济周期影响下的行为资产定价问题研究。The study of behavioral asset pricing has been concerned by scholars at home and abroad. The classical asset pricing model is questioned in the realistic capital market with so much anomaly. The fluctuations of business cycle effect investors rationality, then irrational investment might induce financial crisis. So in the perspective of business cycle, the effect mechanism of prospect theory on asset pricing is discussed by new hypothesis and the modification of BHS model.

关 键 词：经济周期 前景理论 资产定价 

分 类 号：F830.91[经济管理—金融学]