投资者看法差异与风险资产定价  

Investor's Opinion Difference and Risky Asset Pricing

作　　者：刘善存[1] 许杨[1] 于晓强[1] 张强[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《数学的实践与认识》2013年第2期108-113,共6页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71071010)

摘　　要：股票市场中投资者的看法差异是否影响定价?将投资者之间由于信息不对称引起的看法差异和对称信息下由于信念异质引起的看法差异,纳入统一的一个理性预期模型,推导出基于信息性风险和异质信念下的风险资产定价模型,对几种不同来源性质的看法差异进行剥离并通过对均衡价格的比较静态分析证明了:由信息不对称造成的看法差异与投资者要求的预期收益率正相关,而由信念异质引起的看法差异与预期收益率负相关.这表明:投资者对逆向选择风险要求额外的风险贴水,而相反会忽视赢者诅咒风险,投资者的看法差异越大越会造成股票价格的高估.Is the stock market investors＇ opinion difference a determinant of asset pricing？ This paper incorporates the two sources of opinion differences-one is due to information asymmetry and another is due to heterogeneous belief on the information symmetry-into a uniform rational expectation model. It derives a capital asset pricing model on information asymmetry risk and heterogeneity risk. Peeling off the two different sources of opinion difference and making the comparative static analyze, we prove that the part of opinion difference due to information asymmetry has positive relation with the expected required return, and contrarily, the part of opinion difference due to heterogeneous belief has negative relation with the expected required return. This means that investors need risk premium in face of the adverse selection risk due to information asymmetry, and neglect the winners curse risk. The larger the opinion differences in heterogeneous belief, the more degree the overestimation of the price of the risky asset.

关 键 词：看法差异 信息性风险 异质信念 资产定价 

分 类 号：F224[经济管理—国民经济] F830.9