| 基于投资者情绪的行为资产定价模型 |
| |
| 引用本文： | 李潇潇,杨春鹏,姜伟.基于投资者情绪的行为资产定价模型[J].青岛大学学报(自然科学版),2008,21(4). |
| |
| 作者姓名： | 李潇潇 杨春鹏 姜伟 |
| |
| 作者单位： | 1. 青岛大学,数学科学学院,山东,青岛,266071;青岛大学,经济学院,山东,青岛,266071
2. 青岛大学,经济学院,山东,青岛,266071 |
| |
| 基金项目： | 国家自然科学基金项目
，
|
| |
| 摘 要： | 沿用DHS模型研究框架建立了基于投资者情绪的资产定价模型,分析了投资者情绪对资产定价的影响,并利用该模型解释证券市场中的过度反应和过度波动等异常现象.论证了投资者情绪对长期市场收益具有反向影响,并且情绪交易者的存在导致短期资产价格波动变大.
|
| 关 键 词： | 投资者情绪 资产定价 过度反应 过度波动 |
Behavioral Asset Pricing Model Based on Investor Sentiment |
| |
| LI Xiao-xiao,YANG Chun-peng,JIANG Wei.Behavioral Asset Pricing Model Based on Investor Sentiment[J].Journal of Qingdao University(Natural Science Edition),2008,21(4). |
| |
| Authors: | LI Xiao-xiao YANG Chun-peng JIANG Wei |
| |
| Institution: | LI Xiao-xiao1,2,YANG Chun-peng2,JIANG Wei2(Qingdao University,1.College of mathematics,2.college of economics,Qingdao 266071,China) |
| |
| Abstract: | A behavioral asset pricing model based on investor sentiment is built by using the theory of DHS and the effect of investor sentiment on the asset price is analyzed.Some anomalous phenomena such as overreaction and excess volatility can be explicitly explained by using the above model.Simulated results show that invenstor's sentiment has a negative effect on market return with long-term,and the investor with sentiment make asset price fluctuate largely in short term. |
| |
| Keywords: | Investor sentiment Asset price Overreaction Excess volatility |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
