摘要
本文构建了一个可以拓展至无限类别的异质投资者模型,我们发现,在投资者具有强异质性的条件下,资产价格的异常波动性并不是不同类别投资者情绪波动的简单加总,起关键作用的是投资者之间的异质信念。有效市场假说中噪音交易者行为相互抵消的过程确实在发生,但这一抵消过程并不一定是完全的。在投资者具有强异质性条件下,投资者情绪在加总后对资产价格的影响反而更加稳定。投资者参与是异质信念影响波动性的重要条件,随着投资者参与程度的提高,异质信念对波动性的影响愈加显著。上述结论得到了本文实证结果的支持。
This paper proposes a heterogeneous model that can be extended to infinite-investor scenario.We find that in the cases of investors' strong heterogeneity,the abnormal volatility of asset prices is not a simple aggregation of the sentiment volatility of different investors.The heterogeneous beliefs play a key role.The cancelling out of noise trading assumed by EMH does exist.However,this process is not necessarily complete.In the case of investors' strong heterogeneous beliefs,the influence of investor sentiment is more stable.Investor participation is an important condition for heterogeneous beliefs to function.As the investor participation increases,the influence of heterogeneous beliefs on volatility is more significant.Our empirical studies support these predictions.
出处
《金融评论》
2013年第3期55-71,124-125,共17页
Chinese Review of Financial Studies
基金
国家自然科学基金"投资者情绪
资产估值与资产价格异常波动研究"(项目批准号:70971101)
教育部人文社科规划项目"投资者情绪与资产价格异常波动性研究"(项目批准号:09YJA790156)的资助
关键词
异质信念
投资者参与
投资者情绪
异常波动性
Heterogeneous Belief
Investor Participation
Investor Sentiment
Abnormal Volatility
