發(fā)布時間：2018-05-11 15:16

  本文選題：資產(chǎn)定價 + 異質(zhì)信念　； 參考：《浙江大學(xué)》2017年博士論文

【摘要】：經(jīng)典的資產(chǎn)定價理論以具有代表性的家庭或個人投資者作為分析的起點(diǎn)。但在現(xiàn)代的金融市場中,大量財富并不由投資者自行管理,而是由專業(yè)的機(jī)構(gòu)代為投資。傳統(tǒng)的行為資產(chǎn)定價模型則往往采用單一的代表性個體來描述所有的代理投資機(jī)構(gòu),忽視了機(jī)構(gòu)投資者間在意相對表現(xiàn)而出現(xiàn)的競爭行為�；谏鲜隹紤],本文基于納什博弈框架建立了考慮投資者異質(zhì)信念和相對表現(xiàn)的資產(chǎn)定價模型。模型假定存在兩類具有信念分歧的機(jī)構(gòu)投資者,并各用一個代理人來刻畫其投資行為。兩個代理人會因?yàn)橄鄬τ趯κ值臉I(yè)績表現(xiàn)在期末時刻收到相應(yīng)的財富獎勵或者懲罰。異質(zhì)信念的存在會影響市場均衡狀態(tài)下的股票價格,使之偏離真實(shí)價值。異質(zhì)信念還將推高股票的波動率,使得代理人認(rèn)同的風(fēng)險的市場價格出現(xiàn)差異并呈現(xiàn)反經(jīng)濟(jì)周期的特點(diǎn)。在市場均衡時,樂觀的代理人總是向悲觀的代理人舉債來籌集資金,以便更多地買入風(fēng)險資產(chǎn)。代理人會因?yàn)樵谝庀鄬Ρ憩F(xiàn)而出現(xiàn)博弈投資行為。當(dāng)一方代理人暫時贏得了市場時,對相對表現(xiàn)的顧慮會削弱勝利者對市場的主導(dǎo)作用。而此時,已經(jīng)退出交易的失敗者則會因?yàn)橄鄬Ρ憩F(xiàn)的考慮,更傾向于回歸市場。當(dāng)兩個代理人在意相對表現(xiàn)的程度足夠強(qiáng)時,他們會極端地厭惡在市場競爭中落敗,進(jìn)而在投資策略上出現(xiàn)高度的相似性。利用中國上市公司個股的周度交易數(shù)據(jù),本文實(shí)證分析了異質(zhì)信念對股價的短期影響。通過投資組合分析方法和Fama-MacBeth截面回歸方法,本文驗(yàn)證了存在嚴(yán)格賣空限制時投資者異質(zhì)信念越高的股票當(dāng)周收益率越高,而異質(zhì)信念最高股票下周的收益率會表現(xiàn)出明顯的反轉(zhuǎn)。而當(dāng)股票被允許賣空時,本文發(fā)現(xiàn)異質(zhì)信念與當(dāng)周收益率的正相關(guān)性并沒有受到影響,但高異質(zhì)信念股票短期內(nèi)的股價下跌已經(jīng)不再顯著�；谥袊袌鲎C券投資基金季度持倉數(shù)據(jù),本文實(shí)證分析了機(jī)構(gòu)投資者羊群行為及其對股價的影響,并首次考慮了異質(zhì)信念在其中的作用。實(shí)證結(jié)果顯示,在2006年到2015年間的中國市場上,機(jī)構(gòu)投資者表現(xiàn)出了顯著的羊群行為,并且買方羊群程度要大于賣方。通過引入投資者異質(zhì)信念,本文發(fā)現(xiàn)隨著投資者信念分歧程度的上升,機(jī)構(gòu)羊群行為的程度呈現(xiàn)先下降后升高的特點(diǎn)。機(jī)構(gòu)投資者在高異質(zhì)信念股票上的買方羊群行為擾亂了股價穩(wěn)定,使得價格在經(jīng)歷當(dāng)期上升后立即在下一期跟隨一個下降的過程。而低異質(zhì)信念股票上的買方羊群行為在使得股票價格上升后不會在下期伴隨有顯著的下降過程。此外,賣方羊群行為將對股價產(chǎn)生持續(xù)影響,并沒有引起股價的修正。
[Abstract]:Classical asset pricing theory takes representative family or individual investors as the starting point. But in modern financial markets, a lot of wealth is not managed by investors themselves, but by professional institutions. The traditional behavioral asset pricing model often uses a single representative individual to describe all agency investment institutions, ignoring the competitive behavior of institutional investors who care about relative performance. Based on the above considerations, an asset pricing model considering investors' heterogeneous beliefs and relative performance is established based on Nash game framework. The model assumes that there are two types of institutional investors with different beliefs and each uses an agent to characterize their investment behavior. Both agents receive a corresponding wealth reward or punishment at the end of the year for their performance in relation to the opponent's performance. The existence of heterogeneous beliefs will affect the stock price in the equilibrium state of the market and make it deviate from the real value. The heterogeneity belief will also push up the volatility of the stock, make the market price of the risk that the agent agrees to appear the difference and present the characteristic of anti-business cycle. In market equilibrium, optimistic agents always borrow from pessimistic agents to raise funds to buy more risky assets. Agents will be concerned about relative performance and the emergence of game investment behavior. When an agent temporarily wins the market, concern about relative performance weakens the victor's dominance of the market. At this point, losers who have withdrawn from trading tend to return to the market because of relative performance considerations. When two agents care about the degree of relative performance strong enough, they will extremely hate losing in the market competition, and then there is a high degree of similarity in investment strategies. Based on the weekly trading data of individual stocks of Chinese listed companies, this paper empirically analyzes the short-term influence of heterogeneous beliefs on stock prices. Through portfolio analysis and Fama-MacBeth cross section regression, this paper verifies that the higher the investors' heterogeneity belief is, the higher the weekly return is when there are strict short selling restrictions. And heterogeneity belief highest stock returns next week will show a clear reversal. When the stock is allowed to short sell, we find that the positive correlation between heterogeneity belief and the week's return is not affected, but the stock price decline of high heterogeneity belief in the short term is no longer significant. Based on the quarterly position data of securities investment funds in China, this paper empirically analyzes the herding behavior of institutional investors and its influence on stock price, and for the first time considers the role of heterogeneous beliefs. The empirical results show that between 2006 and 2015, institutional investors showed significant herding behavior, and the herd size of buyers was greater than that of sellers. By introducing investors' heterogeneous beliefs, this paper finds that the degree of institutional herding behavior decreases first and then increases with the increase of the degree of divergence of investors' beliefs. The herding behavior of institutional investors in highly heterogeneous stocks disturbs the stability of the stock price and causes the price to follow a process of decline in the next period immediately after the current period rises. However, the buyer's herding behavior in the low heterogeneity belief stock will not be accompanied by a significant decline in the next period after the stock price rises. In addition, the seller's herd behavior will have a lasting impact on the stock price, and no correction to the stock price.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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