投资者对经济基本面的认知偏差会影响证券价格吗?——中美证券市场对比分析  

Do Investors' Distorted Beliefs in Economic Fundamentals Affect Equity Prices? A Comparative Study of China and the United States

作　　者：崔丽媛[1] 洪永淼[2,3] 

机构地区：[1]香港城市大学经济及金融系,999077 [2]美国康奈尔大学经济学系与统计学系 [3]厦门大学邹志庄经济研究中心与王亚南经济研究院,361005

出　　处：《经济研究》2017年第8期94-109,共16页Economic Research Journal

基　　金：洪永淼教授主持的国家社会科学基金特别委托项目<"中国梦"的系统结构;操作层面及国际比较研究>(批准号:13@ZH020)的阶段性成果

摘　　要：本文通过放松Lucas(1978)资本资产定价模型的完全理性假设,构建了投资者的经济基本面认知偏差对证券价格影响的计量模型。当投资者主观认知和市场实际运行机制存在偏差时,该模型能较好地解释诸如消费增长率同股权溢价的相关性、累积超额收益等传统资产定价模型无法量化的诸多中国股市难题。本文还推导出了适用于非理性期望的广义矩估计方法(GMM),克服了现有GMM方法只能在完全理性期望下使用的局限性。基于该方法,本文以中国和美国为例,模拟检验了投资主体的不同认知偏差对股价和债券价格的差异性影响程度。结果显示,中美投资者的主观预期形式并不完全相同。美国投资者对经济基本面信息均值的变化反应较敏感;而中国投资者却对经济基本面波动的变化反应较敏感。该结果从认知偏差角度解释了中国股价长期背离经济基本面的现象,为政府规范股票市场的发展,促进股市服务实体经济提供了政策启示。By relaxing the complete rationality assumption imposed in the Lucas （1978） consumption-based asset pricing （CAPM） model, we study a new CAPM model in an endowment economy, which incorporates investors＇ distorted beliefs in economic fundamentals. When there exists discrepancy between investors＇ subjective beliefs and the market objective operating meehanism, our model can capture many well-documented economic anomalies, such as the United States equity premium puzzle and accumulative excess returns. In addition, our paper addresses the low correlation between China＇s consumption growth rate and its equity premiums. This paper further establishes a new GMM estimation method, which works with non-mathematical expectations. As current GMM estimation methods can only deliver correct estimations under mathematical expectations, our new estimation method overcomes one of the biggest challenges faced by the current GMM literature. Based on our new model and robust estimation procedure, we find that investors in China have significantly low sensitivity to changes in mean levels of economics fundamentals than those in the United States. Investors in China are prone to react to changes in the volatilities of economic fundamentals. The results of our paper help to explain a well-known confusing phenomenon in China： that the stock market＇s performance has been deviating from its real economy for a long time. Numerous studies have explored the United States stock market and found a strong equilibrium between the stock market and real economy （Fama, 1990; Sehwert, 1990; Cheung ＆ Ng, 1998）. Since 1990, China has been experiencing rapid development in many aspects. Unfortunately, the performance of its stock market has been contradicting investor performance and the government＇s expectations, while deviating from the real economy （Han ＆ Hong, 2014）. China＇s quarterly average consumption growth rate per capita was about 1.81% from 2002 to 2015, about six times as large as that in the United Sta

关 键 词：经济基本面 完全理性假设 认知偏差 GMM方法 股权溢价 累积超额收益 

分 类 号：F832.51[经济管理—金融学] F837.12