过度自信对金融资产短期价格行为的影响分析

从交易者过度自信的角度分析了不完全理性交易行为对金融资产短期价格行为的影响并建立了相应的数学模型.分析表明:金融市场上即便信息是对称的,但若存在较大比例的不完全理性交易者,那么金融资产的短期价格变化过程与交易者完全理性情形下的短期价格行为有显著差异;存在过度自信交易行为情形下的金融资产短期价格显著高于资产的内在价值.此外,由于存在"有限套利"现象,因不完全理性交易行为引致的短期价格偏差可能得不到迅速纠正.

Study of the Impact of Overconfidence on the Financial Asset Short-term Price Behavior

In the paper, we set up a model to examine how the irrational trading behavior significantly affects the short changes of financial asset price from the traders' overconfidence point. The results indicate that even if the information in financial market is symmetric, the financial asset short-term price behavior is significantly different when a greater proportion of irrational traders exist in the market. The financial asset short-term price is higher than the fundamental value when overconfidence is more serious. Furthermore, because of the limit arbitrage, the short-term price deviation owing to irrational trading may not be corrected timely.