本文關(guān)鍵詞： 行為金融 投資者情緒 選美競賽 資產(chǎn)定價模型　出處：《華南理工大學》2014年碩士論文　論文類型：學位論文

【摘要】：凱恩斯富有寓意地將投資決策比作選美競賽，這一經(jīng)典比喻為各界人士高度認同，然而早期學術(shù)界卻未見將選美競賽思想應用到資產(chǎn)定價模型研究中。近年來陸續(xù)有學者以選美競賽和理性預期為基礎(chǔ)研究資產(chǎn)定價模型，并指出高階期望對資產(chǎn)價格的有重要影響。但是，眾多金融異象的涌現(xiàn)導致理性金融理論的完備性飽受質(zhì)疑，自此行為金融學產(chǎn)生，投資者情緒成為研究資產(chǎn)定價的系統(tǒng)性影響因素。近期越來越多的實驗和實證研究結(jié)果均證明了投資者情緒對資產(chǎn)價格有重要的影響。因此，結(jié)合選美競賽和投資者情緒兩個切入點研究資產(chǎn)定價模型，必定有助于我們理解資產(chǎn)價格的形成。 本文從選美競賽思想出發(fā)，指出投資決策有高階期望，并從投資者情緒角度刻畫投資者的非理性行為，在此基礎(chǔ)上構(gòu)建了靜態(tài)和動態(tài)資產(chǎn)定價模型，繼而對所求解的模型進行數(shù)值模擬研究資產(chǎn)價格形成機理，并對資產(chǎn)價格偏離基礎(chǔ)價值、長期反轉(zhuǎn)和投資者長期生存性給出有效的解釋。 基于投資者情緒與選美競賽的靜態(tài)定價模型，通過數(shù)值模擬分析得出的結(jié)論有三方面。一是模型方面，在刻畫價格變化多樣性時，情緒模型優(yōu)于理性模型，能夠解釋價格偏離價值；二是資產(chǎn)價格特征分析方面，投資者情緒與資產(chǎn)價格有非對稱的正向聯(lián)動性，且低落情緒對資產(chǎn)價格的影響要小于高漲情緒，高階期望的存在將減小價格波動，并抑制情緒影響價格變動；三是在異質(zhì)期望市場中，選美競賽策略投資者大部分情況下能夠占據(jù)優(yōu)勢，獲得更高的財富并能夠生存下來。 由于情緒具有易變性，本文把靜態(tài)模型拓展到動態(tài)模型，研究結(jié)論同樣有三方面。一是拓展了靜態(tài)模型的結(jié)論，證明靜態(tài)模型結(jié)論具有一定的穩(wěn)健性；二是時變投資者情緒導致多樣的價格變化形式，能解釋價格長期反轉(zhuǎn)現(xiàn)象；三是存在高階期望的模型中1期的情緒對2期均衡價格的影響要大于2期情緒的影響，，隨著2期情緒的上漲，1期均衡價格在2期均衡價格中的作用將越來越小。
[Abstract]:Keynes meritfully likened investment decisions to beauty contests, a classic metaphor that people in all walks of life highly agree with. However, in early academic circles, the idea of beauty pageant has not been applied to the study of asset pricing models. In recent years, some scholars have studied asset pricing models based on pageant contests and rational expectations. It is pointed out that higher expectations have an important impact on asset prices. However, the emergence of a large number of financial anomalies has called into question the completeness of rational financial theory, and since then behavioral finance has come into being. Investor sentiment has become a systemic factor in the study of asset pricing. More and more recent experimental and empirical results have proved that investor sentiment has an important impact on asset prices. Combining beauty pageant and investor sentiment to study asset pricing model will help us understand the formation of asset price. Based on the idea of beauty pageant, this paper points out that there are higher expectations in investment decision, and depicts the irrational behavior of investors from the perspective of investor sentiment. On this basis, the static and dynamic asset pricing models are constructed. Then the model is simulated to study the formation mechanism of asset price, and an effective explanation is given for the deviation of asset price from the basic value, the long-term reversal and the long-term viability of investors. Based on the static pricing model of investor sentiment and beauty pageant, there are three conclusions through numerical simulation. One is that the emotional model is superior to the rational model in describing the variety of price changes. It can explain the price deviation from the value; second, in the analysis of asset price characteristics, investor sentiment and asset price have asymmetric positive linkage, and the impact of low sentiment on asset price is smaller than that of high emotion. The existence of higher expectations will reduce price volatility and restrain emotional influence on price changes. Third, in heterogeneous expectation markets, beauty contest strategy investors will be able to occupy an advantage, obtain higher wealth and survive in most cases. Because of the variability of emotion, this paper extends the static model to the dynamic model, the conclusion of the study also has three aspects: first, the conclusion of the static model is extended to prove that the conclusion of the static model has certain robustness; The other is that the time-varying investor sentiment leads to a variety of price change forms, which can explain the long-term price reversal phenomenon; third, in the model with higher expectations, the influence of the first period emotion on the second period equilibrium price is greater than that of the second period mood. As the mood of the second period rises, the equilibrium price of the first period will play a smaller and less important role in the second period equilibrium price.
【學位授予單位】：華南理工大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.59;F224

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