本文選題：投資者情緒 + 行為資產(chǎn)定價模型�。� 參考：《華南理工大學(xué)》2012年博士論文

【摘要】：現(xiàn)代金融理論產(chǎn)生后得到了長足的發(fā)展，然而，自70年代末以來涌現(xiàn)出大量投資者異常行為及金融市場異象，從而使得現(xiàn)代金融理論的完備體系面臨了金融事實的挑戰(zhàn)。自此，行為金融學(xué)產(chǎn)生并發(fā)展開來。對于行為金融領(lǐng)域中的重要問題，即資產(chǎn)定價模型而言，現(xiàn)有文獻主要從噪音交易者和投資者認知偏差兩個角度進行了研究。然而，基于投資者情緒的研究與基于這兩個研究角度的分析相比，具有更大的優(yōu)勢，既能較容易實證檢驗相關(guān)結(jié)論，也能得到心理行為實驗與神經(jīng)醫(yī)學(xué)實驗的證據(jù)支持。因此，從投資者情緒的角度進行行為資產(chǎn)定價模型的研究或許能夠得到更多的有益結(jié)論。本文即基于投資者情緒理論研究行為資產(chǎn)定價問題，繼而深入分析所構(gòu)建的理論模型，文章主要研究內(nèi)容有三： 一、針對目前投資者情緒指數(shù)構(gòu)建過程中面臨的一些不足，本文提出了一套選取投資者情緒代理變量的優(yōu)化程序。 本文提出的優(yōu)化程序?qū)υ即碜兞康倪x取做了改進，同時對不適合表征情緒的代理變量增加了剔除操作，，從而使得構(gòu)建的投資者情緒指數(shù)更加符合理論邏輯。隨后，本文應(yīng)用我國股市實際數(shù)據(jù)，以EGARCH模型驗證了該優(yōu)化情緒指數(shù)的有效性，從而為本文理論模型的研究奠定了堅實的基礎(chǔ)。 二、基于BSV模型與DSSW模型，本文相繼構(gòu)建了風(fēng)險資產(chǎn)的情緒認知價格模型和情緒均衡價格模型，并數(shù)理推導(dǎo)了其價格解析表達式。 首先，針對市場上僅存在風(fēng)險資產(chǎn)、以及市場情緒投資者同質(zhì)即均為單向情緒投資者的假設(shè)條件下，本文改進了BSV模型的不足之處，建立了單向情緒資產(chǎn)認知價格模型，并通過數(shù)理推導(dǎo)求解得到了其價格表達式。隨后將模型拓展至市場情緒投資者異質(zhì)即可分為正向情緒投資者與負向情緒投資者兩類時的情況，構(gòu)建并求解了雙向情緒資產(chǎn)認知價格模型。 其次，本文考慮了當(dāng)市場上同時存在風(fēng)險資產(chǎn)和無風(fēng)險資產(chǎn)的情況下，投資者在受到情緒影響的條件下如何配置其資產(chǎn)并最終決定風(fēng)險資產(chǎn)的價格，在改進了DSSW模型的基礎(chǔ)上分別構(gòu)建了單向情緒資產(chǎn)均衡價格及雙向情緒資產(chǎn)均衡價格模型，并通過推導(dǎo)求得了兩模型的解析表達式。 三、針對文中兩類理論模型求解得出的解析表達式，本文分析了實際投資策略、資產(chǎn)超額收益、資產(chǎn)情緒泡沫及負的期望收益等問題，并得到了豐富的有益結(jié)論。 針對兩類情緒認知價格模型，特別是單向情緒認知價格模型，設(shè)計了一套投資策略，利用本文提出的投資者情緒指數(shù)構(gòu)造優(yōu)化程序，構(gòu)建了一類新的市場整體情緒指數(shù)，并以上證綜指為對象進行了實際數(shù)據(jù)的驗證，發(fā)現(xiàn)該投資策略相較于基準指數(shù)能夠獲取較高的超額收益，從而驗證了本文所提出投資策略的有效性。隨后參數(shù)靈敏度分析證明了初始參數(shù)的設(shè)置并不影響投資策略的盈利率，最終又驗證了這一投資策略盈利的穩(wěn)健性。對于雙向情緒認知價格模型，本文給出了數(shù)值模擬，并以參數(shù)分析驗證了眾多行為金融實驗的結(jié)論，即正向情緒投資者與負向情緒投資者權(quán)衡博弈時，正向情緒投資者數(shù)量的增加將引致市場平均情緒水平高漲，并最終導(dǎo)致資產(chǎn)價格升高。 針對兩類情緒均衡價格模型，本文分別分析了情緒對風(fēng)險資產(chǎn)超額收益、泡沫及期望收益的影響。在單向情緒資產(chǎn)均衡價格模型方面，研究結(jié)論表明：情緒高漲時資產(chǎn)有正的期望收益，情緒低落時資產(chǎn)有負的期望收益；然而，這一結(jié)論對超額收益和泡沫而言并不成立，即當(dāng)情緒低落時，風(fēng)險資產(chǎn)確實會有正的超額收益及負的情緒泡沫，但當(dāng)情緒高漲并大于某一臨界值時，即情緒劇烈高漲時，資產(chǎn)具有負的超額收益及正的情緒泡沫，當(dāng)情緒高漲小于該臨界值時，即情緒溫和高漲時，資產(chǎn)具有正的超額收益及負的情緒泡沫。這一數(shù)理推導(dǎo)觀點是對現(xiàn)有研究結(jié)論的細化。在雙向情緒資產(chǎn)均衡價格模型方面，研究結(jié)論表明：負向情緒投資者的悲觀氣氛強于正向投資者的樂觀氣氛時，風(fēng)險資產(chǎn)有超額收益；正向情緒投資者的樂觀氣氛強于負向情緒投資者的悲觀氣氛但強度不是很大即小于某一臨界值時，風(fēng)險資產(chǎn)有超額收益；正向情緒投資者的樂觀氣氛遠遠強于負向情緒投資者的悲觀氣氛即大于該臨界值時，風(fēng)險資產(chǎn)沒有超額收益。對泡沫的分析與對超額收益的分析均得到了相同的情緒臨界值，這一結(jié)論的性質(zhì)與前面的單向情緒資產(chǎn)均衡價格模型分析一致。最后分析了雙向情緒水平的變化與投資者數(shù)量的變化分別對資產(chǎn)期望收益的影響，結(jié)果發(fā)現(xiàn)當(dāng)兩類情緒發(fā)生同向變化且低落時資產(chǎn)期望收益為負，這一情況意味著市場整體情緒水平的低落，與單向情緒資產(chǎn)價格模型的結(jié)論是一致的；當(dāng)兩類情緒發(fā)生異向變化時資產(chǎn)期望收益的正負取決于價格模型中其它參數(shù)的具體取值情況。而樂觀情緒投資者數(shù)量的增加并不一定使得風(fēng)險資產(chǎn)價格必然地上升，該類投資者的過度涌現(xiàn)可能造成資產(chǎn)價格的風(fēng)險抑制效應(yīng)增強，從而可能使其具有負的期望收益，這與實際市場中的股票價格行為一致。
[Abstract]:The modern financial theory has developed greatly. However, since the end of the 70s, a large number of abnormal behavior and financial market anomalies have emerged, which makes the complete system of modern financial theory face the challenge of financial facts. In the case of asset pricing model, the existing literature is mainly studied from two perspectives, the noise trader and the investor's cognitive bias. However, the research based on investor sentiment has a greater advantage than the analysis based on these two perspectives. Therefore, the study of behavioral asset pricing model from the perspective of investor sentiment may get more useful conclusions. This paper is based on investor sentiment theory to study behavior asset pricing, and then analyzes the theoretical model constructed in depth. The main contents of this paper are three:
First, in view of the deficiencies in the construction of investor sentiment index, this paper proposes a set of optimization procedures to select investor sentiment agent variables.
The optimization program proposed in this paper improves the selection of the original proxy variables, and increases the elimination operation for the agent variables that are not suitable for the representation of emotions, thus making the investor sentiment index more consistent with the theoretical logic. Then, this paper uses the actual data of the stock market in China to verify the optimization of the emotional index with the EGARCH model. Efficiency, thus laying a solid foundation for the theoretical model of this paper.
Two, based on the BSV model and the DSSW model, this paper constructs the emotional cognitive price model and the emotional equilibrium price model of the risk assets, and deduces the analytic expression of its price.
First, under the assumption that there is only a risk asset in the market, and the market sentiment investor is homogeneity as a one-way emotional investor, this paper improves the deficiency of the BSV model, establishes a one-way emotional asset cognitive price model, and obtains its price expression by mathematical derivation. Then the model is extended to the market. The heterogeneity of emotional investors can be divided into two groups of positive emotional investors and negative emotional investors, and the cognitive price model of two-way emotional assets is constructed and solved.
Secondly, we consider how to configure their assets and ultimately determine the price of risk assets under the condition of emotional impact, when the market exists both risk assets and riskless assets. On the basis of the improved DSSW model, the equilibrium price of one-way mood assets and the equilibrium price of two-way emotional assets are constructed respectively. The analytic expression of the two model is obtained through deduction.
Three, in view of the analytical expressions of the two types of theoretical models, this paper analyzes the actual investment strategy, the excess return on assets, the asset sentiment bubble and the negative expected return, and has obtained a rich and useful conclusion.
According to the two kind of emotional cognitive price model, especially one way emotion cognitive price model, a set of investment strategy is designed. By using the investor sentiment index structure optimization program, a new kind of market overall emotional index is constructed, and the above index is verified by the actual data, and the investment strategy is found to be compared. The Yu Jizhun index can obtain high excess returns, thus verifying the effectiveness of the investment strategy proposed in this paper. Then the parameter sensitivity analysis proves that the setting of initial parameters does not affect the earnings rate of investment strategy, and finally verifies the robustness of the investment strategy. The numerical simulation is used to verify the conclusion of many behavioral financial experiments, that is, when the positive emotional investors and negative emotional investors weigh the game, the increase of positive emotional investors will lead to higher market average emotional level, and ultimately lead to higher asset prices.
According to the two kind of emotional equilibrium price model, this paper analyzes the effect of emotion on excess return, bubble and expected return. In the aspect of equilibrium price model of one way emotional asset, the conclusion shows that the asset has positive expected return and negative expected return when the mood is low; however, this conclusion is a conclusion. It is not true for excess returns and bubbles, that is, when the mood is low, the risk asset does have positive excess returns and negative emotional bubbles, but when the mood is higher than a critical value, that is, when the emotion rises sharply, the assets have negative excess returns and positive emotional bubbles, when the sentiment is higher than the critical value, that is, emotion. At the time of mild inflation, the assets have positive excess returns and negative emotional bubbles. This mathematical derivation view is a refinement of the existing research conclusions. In the aspect of the equilibrium price model of two-way emotional assets, the conclusion shows that the negative mood of negative emotional investors is stronger than positive investors, and the risk assets have excess returns. Positive mood investor's optimistic atmosphere is stronger than negative mood investor's pessimistic atmosphere, but the risk asset has excess return when the intensity is not large or less than a certain critical value, and the positive mood of positive emotional investor is far stronger than negative mood investor's pessimistic atmosphere is larger than the critical value, and the risk asset has no excess return. The analysis of bubbles and the analysis of excess returns all get the same emotional critical value. The nature of this conclusion is consistent with the analysis of the equilibrium price model of the one-way emotional asset. Finally, we analyze the effect of the change of two-way emotion level and the change of investor quantity on the expected return of the investment period respectively. The results are found to be the two kinds of emotions. In the same direction, the expected return of assets is negative, which means that the overall sentiment level of the market is low and the conclusion of the one-way emotional asset price model is consistent. The positive and negative value of the expected income of the assets depends on the specific value of the other parameters in the price model when the two kinds of emotions vary. The increase in the number of emotional investors does not necessarily increase the price of the risk assets. The excessive emergence of this kind of investor may cause the increase of the risk inhibition effect of the asset price, which may lead to the negative expected return, which is consistent with the stock price behavior in the real market.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【引證文獻】

相關(guān)期刊論文 前1條

1 嚴俊宏;;基于投資者情緒的股市波動非對稱性研究[J];技術(shù)與市場;2013年05期

相關(guān)博士學(xué)位論文 前1條

1 張壬癸;基于情緒的消費資本資產(chǎn)定價模型[D];華南理工大學(xué);2013年

相關(guān)碩士學(xué)位論文 前2條

1 嚴俊宏;中國股市波動的非對稱性研究[D];華南理工大學(xué);2013年

2 陳江鵬;基于網(wǎng)絡(luò)輿論的我國股票市場有效性檢驗研究[D];西南財經(jīng)大學(xué);2013年

本文編號：1969157