中国股票市场异质信念资产定价实证分析  

Empirical Analysis of Heterogeneous Belief Based on China's Stock Market

作　　者：曾长兴[1] 

机构地区：[1]暨南大学金融研究所,广州510632

出　　处：《科学技术与工程》2012年第9期2109-2113,共5页Science Technology and Engineering

摘　　要：扣除完全市场因子、行业因子和流动性需求后的换手率指标是我国股票市场异质信念合理代理指标。异质信念对股票收益率有较好的解释能力,异质信念最高的组合获得较高的收益率。同时,观察滞后一期数据发现异质信念收益表现出明显的反转特点。结论对我国异质信念资本资产定价提供了有力的实证支持。Turnover rate adjusted by market factor,industry factor and liquidity demand are China＇s stock market heterogeneous belief reasonable agent index.Heterogeneous beliefs have better explain ability for the stock yields.The highest of heterogeneous beliefs the highest of stock yields.At the same time,observeing a lag of data,heterogeneous belief earnings show obvious reverse characteristics.Conclusion provide a powerful empirical support for heterogeneous belief capital asset pricing.

关 键 词：异质信念 调整换手率 资产定价模型 

分 类 号：F830[经济管理—金融学]