| 基于异质投资者的资本资产定价模型 |
| |
| 引用本文： | 朱宝军,范利民.基于异质投资者的资本资产定价模型[J].上海交通大学学报,2006,40(4):602-606. |
| |
| 作者姓名： | 朱宝军 范利民 |
| |
| 作者单位： | 1. 上海交通大学,安泰经济与管理学院,上海,200052
2. 上海交通大学,安泰经济与管理学院,上海,200052;广西大学,商学院,南宁,530004 |
| |
| 摘 要： | 提出了一个不完美市场中的资产定价模型.从投资者的资金成本差异和信息不对称的角度出发,探讨了不确定状态下异质投资者对资产价格的影响,发现投资者资金成本差价和市场投资者组成结构等会影响资产价格的确定.通过模型推导发现:资金成本价差越大,资产价格波动越大;散户比例越高,市场波动越大.
|
| 关 键 词： | 资金成本 投资者 不完美市场 资产价格 |
| 文章编号： | 1006-2467(2006)04-0602-05 |
| 收稿时间： | 2005-06-11 |
| 修稿时间： | 2005年6月11日 |
A New Capital Assets Pricing Model Based on Heterogeneity Investors |
| |
| ZHU Bao-jun,FAN Li-min.A New Capital Assets Pricing Model Based on Heterogeneity Investors[J].Journal of Shanghai Jiaotong University,2006,40(4):602-606. |
| |
| Authors: | ZHU Bao-jun FAN Li-min |
| |
| Institution: | 1. Antai School of Economics and Management, Shanghai Jiaotong Univ. , Shanghai 200052, China; 2. Commercial School, Guangxi Univ. , Nanning 530004 |
| |
| Abstract: | This paper presumed that the market is an imperfect market,and then by considering the factors of the difference of capital cost and information,it discussed the impact of assets price of heterogeneity investors under uncertain conditions.It is found that investors' capital cost gap and market investors' structure can influence assets price.Some policy conclusions were drawn from the results of the discussion toward models. Assets price will fluctuate bigger as capital cost gap becomes wider and market will also fluctuate bigger as individual investors' proportion higher. |
| |
| Keywords: | cost of capital investors imperfect market assets prices |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
