摘要
在金融市场中,新的信息会引起市场的波动,但信息对市场价格的冲击却各不相同。我们基于两种较为常见的非理性心理现象(过度自信和过度悲观)建立了一个新的资产定价模型。这一模型表明当两种投资者的比例变化时,市场上风险资产的均衡价格也会发生较大的变化。在特定的情况下,市场上的投资者作为一个整体会表现出不同的行为特征,从而可以部分解释市场对新信息在不同情况下反应。
New information could fluctuate financial markets, but different kinds of information has different impact on asset price. We offer a new asset pricing model based on two irrational psychological tendencies of investors-over confidence and over pessimism-which are proved pervasive in financial markets by many authors. The model shows that the equilibrium price of risk assets will undergo big changes when the proportion of the two kinds of investors change. In some circumstance, as a whole the investors in market will present various behavior characters, which could explain in part the different market response to new information.
出处
《管理评论》
2004年第11期23-27,共5页
Management Review
