發(fā)布時(shí)間：2018-07-17 08:58

【摘要】：隨著金融市場(chǎng)發(fā)展,經(jīng)典資產(chǎn)定價(jià)理論已經(jīng)不能解釋金融市場(chǎng)中存在的種種異象,并且其嚴(yán)苛的模型假設(shè)也與實(shí)際金融市場(chǎng)相去甚遠(yuǎn),于是以行為金融學(xué)理論為基礎(chǔ)的異質(zhì)信念資產(chǎn)定價(jià)研究興起了,涌現(xiàn)出的大量相關(guān)研究對(duì)于解釋目前金融市場(chǎng)中的現(xiàn)象具有非常重要的意義。鑒于目前相關(guān)研究多基于股票定價(jià)以及中國(guó)債券市場(chǎng)良好的發(fā)展前景,異質(zhì)信念下的債券定價(jià)研究還是具有非常重要的現(xiàn)實(shí)意義的。 本文旨在將行為金融理論引入到債券定價(jià)模型中,研究投資者異質(zhì)信念下的債券定價(jià)模型。首先,本文從理論研究和實(shí)證研究?jī)蓚�(gè)方面,對(duì)異質(zhì)信念下的資產(chǎn)定價(jià)研究進(jìn)行了綜述,在此基礎(chǔ)上,構(gòu)建了投資者異質(zhì)信念下的債券定價(jià)模型,并分析了債券風(fēng)險(xiǎn)、投資者樂觀主義對(duì)債券價(jià)格偏差、換手率及價(jià)格波動(dòng)率的影響。結(jié)果表明：在兩期模型中,第二期中債券的均衡價(jià)格要分兩種情況：當(dāng)兩類投資者信念相近時(shí),均衡價(jià)格體現(xiàn)為兩類投資者信念的均值減去風(fēng)險(xiǎn)折價(jià),當(dāng)兩類投資者異質(zhì)信念較大時(shí),均衡價(jià)格體現(xiàn)為較樂觀者的信念減去風(fēng)險(xiǎn)折價(jià)；第一期中債券的均衡價(jià)格等于第二階期中均衡價(jià)格的期望減去風(fēng)險(xiǎn)折價(jià)；其他條件不變的情況下,隨債券風(fēng)險(xiǎn)增大,債券的價(jià)格偏差、換手率和價(jià)格波動(dòng)率都增大,隨投資者樂觀程度的增大,債券價(jià)格偏差和換手率增大,但是此時(shí)價(jià)格波動(dòng)率會(huì)減小。
[Abstract]:With the development of the financial market, the classical asset pricing theory can not explain the anomalies in the financial market, and its harsh model hypothesis is also far from the actual financial market. Therefore, the study of heterogeneous belief asset pricing based on behavioral finance theory is rising, and a large number of relevant studies have emerged. The phenomenon in the former financial market is of great significance. In view of the current related research based on the stock pricing and the good prospects for the development of the Chinese bond market, the study of bond pricing under the heterogeneous belief is of great significance.
The purpose of this paper is to introduce the behavioral finance theory into the bond pricing model and study the bond pricing model under the heterogeneous belief of investors. First, this paper makes a summary of the study of asset pricing under the heterogeneous belief from two aspects of theoretical and empirical research. On this basis, we build a bond pricing model under the investor's heterogeneous belief. The effect of bond risk, investor optimism on bond price deviation, turnover rate and price volatility is analyzed. The results show that in the two phase model, the equilibrium price of the second period bond is divided into two cases: when the two types of investor's belief are close, the equilibrium price is reflected as the mean of the two type of investor's belief minus the risk discount. When the two types of investors have large heterogeneous beliefs, the equilibrium price is reflected by the depreciation of the more happy viewer's belief; the equilibrium price in the first phase is equal to the expectation of the equilibrium price in the second order minus the risk discount; with the increase of the other conditions, the price deviation, turnover rate and price fluctuation of the bond with the increase of the bond risk. As the investor's optimism increases, the bond price deviation and turnover rate increase, but the price volatility will decrease at this time.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.91;F224

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