投资者异质性、分红与资产价格的复杂动态  

Heterogeneity,dividends and complex dynamics in asset pricing

作　　者：宫庆彬 刁训娣[1] GONG Qingbin;DIAO Xundi(Antai College of Economics and Management,Shanghai Jiao Tong University,Shanghai 200030,China)

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《管理工程学报》2024年第3期46-57,共12页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金项目(71771147、71790592);中国博士后科学基金项目(2021M702154)。

摘　　要：本文构建了包含技术面交易者和基本面交易者的带适应性预期的市场演化模型,借助非线性动力系统方法,求解了模型的均衡及其稳定性条件。模型考察了投资者对资产的基本面估值和分红所决定的资产内在价值,分析了二者之间的偏离对于市场定价、投资者结构及市场稳定性的影响,从投资者行为角度解释分红对股票定价的影响机理。结果表明:当基本面估值与资产内在价值偏离增大时,市场中基本面投资者的占比增加,市场均衡价格偏离理性均衡价格,市场的有效性和稳定性降低。另外,若股利不平稳性增大,基本面投资者的占比会减少。借助数值仿真方法,本研究分析了当参数取值偏离稳定性区域时系统演化过程中会出现的周期性、混沌等复杂动态。主要结论有助于解释此前一些文献的实证结果,对理解市场中的复杂波动现象、制定股利政策和进行市场监管等有启发意义。A lot of empirical researches have shown that the dividend policy can affect investor trading behaviors and price volatility.Different types of Investors may response differently to the dividend policy.For instance,individual investors are insensitive to the dividend policy,while the institutional investors usually prefer to the stocks with stable dividend.Some studies have provided evidences that the unstable dividend may lead to great fluctuations of stock price.In this paper,we attempt to develop a theoretical model based on investor behaviors,and investigate the impacts of dividend policy on price dynamics.In real financial markets,investors are heterogeneous and have asymmetric information.They make trading decisions based on the information they observe and take different trading strategies.Some investors may buy the stock and care about the dividend.Some others may trade based on the fundamentals of the stock.They estimate the fundamental value and buy the stock when the price is below the fundamental value.In this paper,investors are assumed to be boundedly rational,and their behaviors are modeled with the heterogenous agent model.In the model,we consider two types of trading strategies,i.e.,the fundamental strategy and the technical strategy.These strategies reflect the heterogeneous expectations of investors.Investors choose between the two strategies according to their performance.The better performance one strategy has,the higher probability the strategy is chosen.The strategy switching mechanism is expressed by the logit response function.It can also depict the dynamics of investor fractions in the market.The price is generated through the trading behaviors of investors.We model the price adjustment process based on the aggregate excess demand.When the aggregate excess demand is positive,the price increases,and vice versa.In Section 1,we establish the model and derive a nonlinear dynamical system,which can characterize the evolutionary dynamics of stock price and investor structure.As it shows,the dy

关 键 词：异质信念 分红 动力系统 稳定性 混沌 

分 类 号：F830[经济管理—金融学]