行为金融学和投资者信念模型

近几年,大量文献发现的证券市场异常现象(anomalies)严重地挑战了有效市场假说。建立了一个投资者信念模型,认为投资者的信念是在不完美信息下对公司级和市场级两个层面的分析之后形成的。提出模型不仅假设更合理,还以简约和统一的方式同时解释了多个已发现的异常,如反应过度和反应不足、小市值公司或高成长性公司效应,并给出了计算机仿真。还提出了两个有待验证的异常现象。

Behavior finance and a model of investor sentiment

In recent years, a body of literatures has uncovered many market anomalies that present a sharp challenge to the EMH. An investor sentiment model is presented. In the model investors form their beliefs on incomplete information by analyzing stocks' performances both on firm level and market level. This model is based on more plausible assumptions and has explained phenomena such as overreaction, underreaction, low value firm or high growing firm effect in a concise and unified way. The model is demonstrated by computer simulation, and two further predictions that need to be tested are also made.