本文選題：異質(zhì)信念 + 股票價格��； 參考：《青島大學》2013年碩士論文

【摘要】：經(jīng)典的資本資產(chǎn)定價模型在金融理論發(fā)展史上具有里程碑式的作用。但是,越來越多的學者研究發(fā)現(xiàn),金融市場中存在諸多無法用經(jīng)典的資產(chǎn)定價理論所解釋的金融異象。因此,放棄同質(zhì)信念而基于異質(zhì)信念的資產(chǎn)定價研究逐漸受到青睞。 本文出異質(zhì)信念的定義出發(fā),構(gòu)建了一個基于異質(zhì)信念的股票定價均衡模型,分別研究了預期收益率意見分歧與預期收益率方差意見分歧對股票價格的影響。與其他文獻所得的異質(zhì)信念單純的與股價正相關(guān)或負相關(guān)的結(jié)果不同,本文的研究結(jié)果表明,當無差異的投資者,即對于投資股票或是投資無風險資產(chǎn)無偏好的投資者,預期的收益率高于市場上平均預期收益率時,異質(zhì)信念與股票價格呈現(xiàn)正相關(guān)關(guān)系,反之則負相關(guān)；當無差異的投資者預期收益率方差高于市場平均預期收益率方差時,異質(zhì)信念與股票價格呈現(xiàn)正相關(guān)關(guān)系,反之則負相關(guān)。在理論模型分析之后,本文對相關(guān)參數(shù)進行了賦值,通過模擬的方法驗證了結(jié)論,并將研究對象間的關(guān)系直觀地呈現(xiàn)出來。 最后,本文對研究結(jié)果進行了總結(jié),并指出本研究的不足之處和未來研究可進一步深入研究的方面。
[Abstract]:The classical capital asset pricing model plays a landmark role in the history of financial theory. However, more and more scholars find that there are many financial anomalies in financial market which can not be explained by classical asset pricing theory. Therefore, the asset pricing research based on heterogeneous beliefs and giving up homogeneity beliefs is becoming more and more popular. Based on the definition of heterogeneity belief, this paper constructs a stock pricing equilibrium model based on heterogeneity belief, and studies the influence of different opinions of expected return and variance of expected return on stock price. Different from the heterogeneity beliefs obtained in other literatures, the results of this study show that when there is no difference between investors, that is, investors who have no preference for investing in stocks or risk-free assets, When the expected return rate is higher than the average expected return rate in the market, the heterogeneity belief has a positive correlation with the stock price, otherwise, there is a negative correlation between the heterogeneity belief and the stock price, and when the variance of the investors' expected return is higher than the average expected return variance of the market, There is a positive correlation between heterogeneous beliefs and stock prices, whereas a negative correlation between heterogeneity beliefs and stock prices. After the theoretical model analysis, the related parameters are assigned, the conclusion is verified by the simulation method, and the relationship between the objects is presented intuitively. Finally, this paper summarizes the results of the study, and points out the shortcomings of this study and the future research can be further studied.
【學位授予單位】：青島大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224

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