锚定效应、前景理论和股票市场异象  

Anchoring Effect,Prospect Theory and Stock Market Anomalies

作　　者：谢军[1] 房玉莹 蓝大镇 高斌 Xie Jun;Fang Yuying;Lan Dazhen;Gao Bin(School of Economics/CHINA-ASEAN Institute of Financial Cooperation,Guangxi University,Nanning 530004,China;School of Economics,Guangxi Minzu University,Nanning 530006,China)

机构地区：[1]广西大学经济学院/中国东盟-金融合作学院,530004 [2]广西民族大学经济学院,530006

出　　处：《南开经济研究》2025年第1期107-127,共21页Nankai Economic Studies

基　　金：国家自然科学基金项目“投资者非理性认知环境下的股票收益预测与投资组合研究”(72061002)的资助。

摘　　要：本文根据中国投资者特征引入锚定效应改进了前景价值函数,通过最大化均值下半方差与前景价值相结合的期望效用构建资产定价模型,并在有限理性条件下给出了模型的均衡结构。实证结果表明,本文模型能够解释28个市场异象中的15个,特别是对于交易摩擦类异象具有较强解释能力,且较其他主流定价模型产生的定价偏误更小。本文的研究结果表明,考虑锚定效应的前景理论更适用于描述中国投资者的非理性行为,拓展了锚定效应和前景理论的相关研究。更重要的是,本文构建的定价模型对投资者行为将在何种程度上影响资产价格,从而造成市场异象这一重要问题做出解答,对政府如何有效引导投资者预期、维护资本市场有效运行具有一定的启示作用。In this paper,based on the characteristics of Chinese investors,we introduce the anchoring effect to improve the prospect value function,and construct an asset pricing model by maximizing the expected utility combined with the mean-semivariance and the prospect value.The equilibrium structure of the model is given under the condition of finite rationality.Empirical results show that the model can account for 15 out of 28 market anomalies,especially for the transaction friction anomaly,and that the pricing bias is smaller than other mainstream pricing models.The results of this paper show that the prospect theory,which takes into account the anchoring effect,is better suited to describe the irrational behavior of Chinese investors,expanding the research on anchoring effect and prospect theory.More importantly,the pricing model constructed in this paper provides an answer to the crucial question of to what extent investor behavior will affect asset prices and cause market anomalies,and has certain implications for how the government can effectively guide investor expectations and maintain the effective operation of the capital market.

关 键 词：资产定价模型 前景理论 锚定效应 市场异象 

分 类 号：F832.51[经济管理—金融学]