| 中国股票市场异质信念资产定价实证分析 |
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| 引用本文： | 曾长兴.中国股票市场异质信念资产定价实证分析[J].科学技术与工程,2012,12(9):2109-2113. |
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| 作者姓名： | 曾长兴 |
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| 作者单位： | 暨南大学金融研究所 |
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| 摘 要： | 扣除完全市场因子、行业因子和流动性需求后的换手率指标是我国股票市场异质信念合理代理指标。异质信念对股票收益率有较好的解释能力，异质信念最高的组合获得较高的收益率，同时，观察滞后一期数据发现异质信念收益表现出明显的反转特点。结论对我国异质信念资本资产定价提供了有力的实证支持。
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| 关 键 词： | 异质信念 调整换手率 资产定价模型 |
| 收稿时间： | 1/4/2012 9:43:14 PM |
| 修稿时间： | 1/4/2012 9:43:14 PM |
Empirical Analysis of Heterogeneous Belief Based on China's Stock Market |
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| zengchangxing.Empirical Analysis of Heterogeneous Belief Based on China's Stock Market[J].Science Technology and Engineering,2012,12(9):2109-2113. |
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| Authors: | zengchangxing |
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| Institution: | ZENG Chang-xing (College of Economics,Jinan University,Guangzhou 510620,P.R.China) |
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| Abstract: | Turnover rate adjusted by market factor, industry factor and liquidity demand is China's stock market heterogeneous belief reasonable agent index. Heterogeneous beliefs have better explain ability for the stock yields. The highest of heterogeneous beliefs the highest of stock yields. At the same time, observeing a lag of data, heterogeneous belief earnings show obvious reverse characteristics. Conclusion of this paper provide a powerful empirical support for heterogeneous belief capital asset pricing. |
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| Keywords: | Heterogeneous Beliefs Adjusted Turnover Asset Pricing Model |
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