摘要
证券资产作为以获取未来收益为目的投资工具,它在价格形成及其市场运行模式上都取决于投资者的预期。基于有效市场假说(EMH)的资产定价理论虽然在理论体系及其形式化上都给出了完美的解决方案,但投资者理性和投资者具有完全一致的预期这两个基本假定在现实证券市场投资中却难以得到满足。本文更现实地依据投资者预期形成的差异,讨论了非一致有限理性预期下的证券市场价格的决定,提出了基于混合预期的噪声交易模型。同时本文还利用上海证券市场的相关实际数据,对该模型进行了实证检验,从而克服了行为金融学中噪声交易模型不能用于实证分析的障碍。
As investment tools to acquire future income, securities assets＇ prices and running mode are decided by the investors＇ expectation. Although the asset pricing theory based on Effective Market Hypothesis （EMH） solves the theoretical and formal problem of securities assets pricing, the two basic assumptions that all investors are rational and expect consistently can＇ t be met in the security market. This paper discusses the securities＇ assets pricing based on inconsistent limited rational expectation, and proposes Noise Trading Model based on Mixed Expectation. Also we test the Mixed Expectation Noise Trading Model empirically using Shanghai security market data. This model overcomes the obstacle that the Noise Trading Model of Behavioral Finance can＇t be used for empirical analysis.
出处
《统计研究》
CSSCI
北大核心
2009年第10期95-102,共8页
Statistical Research
关键词
有限理性
证券资产价格
混合预期
噪声交易
Limited Ration
Securities Assets＇ Prices
Mixed Expectation
Noise Trading
