异质信念下资产定价理论与实证研究
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摘要
资产价格运动方式及运行轨迹的变化是投资者面临的主要风险,在不确定条件下,如何更好地为风险资产进行定价是金融经济学研究的主要内容之一。传统的Sharpe-Lintner-Mossin资本资产定价模型(CAPM)在金融理论发展史上具有里程碑式的作用,具有完美性、结构较为简单且易于实证检验等的优点,因此长期受到学者们的追捧。但是,越来越多的实证研究表明,传统CAPM很难解释风险资产收益的横截面变化。因此,传统CAPM赖以成立的严格假设受到学者们的质疑,特别是投资者同质性假设因其与现实相距甚远而饱受学者们的批评。
放松投资者同质性假设,本文分析具有异质信念的投资者的行为对风险资产价格形成的影响。本文首先界定了“异质信念”的概念,认为异质信念是指市场中不同投资者对相同股票、并且对其持有相同期限的条件下,对该股票未来的条件期望收益率、条件期望收益率方差协方差矩阵以及(或)其变动方式的预测不同；然后分析了投资者异质信念三种不同的形成机制：渐近信念流、有限注意以及先验异质性。由于投资者异质信念更多的表现形式是一种主观形态,因此,如何更好地度量异质信念也是本文研究的一个内容。
在国内外已有的研究基础上,本文通过均值-方差分析方法,引入“一致性”信念概念后,建立了投资者异质信念下零-β的资本资产定价模型。本文研究发现,零-β异质信念CAPM同样表明了风险资产的期望收益是β的线性函数,但是,“一致性”信念下风险资产组合的有效前沿曲线与同质信念下的有效前沿曲线可能不再相同。同时,本文也证实了投资者对风险资产期末支付的信念分歧程度与均衡价格正相关。在异质个体模型(HAM)基础上,本文进一步研究了动态资产定价模型,推导出均衡存在及系统稳定所需要满足的条件,讨论了动态系统存在的分叉,并对系统的稳定性问题进行了简单的数值模拟。
本文以中国A股市场为例,从投资者异质信念视角下分别研究了金融市场中存在的两个著名的异象：盈余惯性及动量效应。研究表明,在意外盈余是负的情况下盈余惯性显著存在,如果意外盈余为正则盈余惯性现象不显著；然后,以分析师预测的标准差与其均值绝对值的比率作为异质信念的替代变量,研究发现异质信念能够解释盈余惯性现象存在的部分原因。
本文研究也表明短期内中国A股市场动量效应存在,在此基础上,以去趋势化换手率作为异质信念替代变量,形成期和持有期分别为1个月情形下,发现投资者异质信念短期内与动量效应正相关,投资者信念差异性越大,基于动量策略投资的收益也越高。
最后,根据研究结果,本文对如何培育一个运行良好的金融市场提供了几点对策建议,以期促进中国金融市场健康发展。同时,本文指出本研究存在之不足,未来研究需要进一步深化的地方。
Under uncertainty, investors are confronted with the changes of asset pricing's movement patterns and trajectory. It is the one of targets of financial economicist to understand how to price risk assets. Traditional Sharpe-Lintner-Mossin capital asset pricing model (CAPM) is one of the landmarks in the financial history. Because it is perfect and simple as so as easy to empirical testing, and so on, the CAPM is followed by many scholars.However, a growing number of empirical studies have shown that the traditional CAPM is difficult to explain asset's cross-section return changes.Therefore, the traditional CAPM is questioned that its established strict assumptions, especially, the assumption of investors homogeneity is far form reality, so it is suffered criticism of scholars.
Relaxing the assumption of homogenous investors, this dissertation studies risky assets pricing under investors with heterogeneous beliefs. The dissertation first defines the basic concept of "heterogeneous beliefs," it shows heterogeneous beliefs is that different investors in the same stock holding period, the estimations of the conditions expected return rate and variance-covariance matrix of risky asset return is different; then, this dissertation explores three different mechanism of heterogeneity of investor beliefs: asymptotic values flow, limited attention, and a priori heterogeneity. Heterogeneous beliefs of investors are more subjective form, therefore, how to better measure heterogeneity of beliefs is an element of this study.
The dissertation is on the basis of the existing excellent researchs, under the assumption of investor heterogenous beliefs it presents the static capital asset pricing model and zero-βcapitcal asset pricing model by the introduction of "consistency belief' under the framing of mean-variance analysis method. This dissertation finds that zero-βCAPM under heterogenous beliefs, as same as the traditonal CAPM, expected return of assets is a linear function of its risk; also, it confirms that investors belief (expected return) of risky asset positively correlated with the equilibrium price. At the same time, the dissertation also examined the evolution of heterogeneous beliefs that may exist in the context of dynamic asset pricing model under the heterogeneous agent model(HAM). In the model of dynamic asset pricing, the dissertation derives the conditions of existence and stability of equilibrium in the system needed to meet, moreover, it shows the issue of system stability by simple numerical simulation.
In the existing literatures, it is relatively little expirical study about the effects of heterogeneous beliefs on asset pricing. The dissertation studies two well-known anomalies: earnings mometum and momentum effect in the Chinese A-share market. This empirical study shows that the earnings mometum exists when unexpected earning is nagative, however, if unexpected earning is positive, the earnings monetum doesn't exist. Then, the dissertation defined the proxy variable of heterogeneous beliefs as the average ratio between the standard deviation of analyst forecasts of earnings and the absolute value of the mean of the forecasts, it shows heterogeneous beliefs can explain partly earnings momentum. The research shows that momentum effect exists in the short time in the Chinese
A-share market. It exploits detrend turnover as proxy variable of heterogeneous belief, finds heterogeneous belief positive correlation with momentum effect when formation and holding period is respectively one month. The more divergence of invests'belief, the return of momentum strategy is higher. Finally, according to the conclusion of this paper, the dissertation brings forward
some suggestion to cultivate a well-functioning financial market in order to guarantee the healthy growth of China stock market. Meanwhile, the dissertation points out what is the inadequacy of the study, what needs to further deepen in the future.
放松投资者同质性假设,本文分析具有异质信念的投资者的行为对风险资产价格形成的影响。本文首先界定了“异质信念”的概念,认为异质信念是指市场中不同投资者对相同股票、并且对其持有相同期限的条件下,对该股票未来的条件期望收益率、条件期望收益率方差协方差矩阵以及(或)其变动方式的预测不同；然后分析了投资者异质信念三种不同的形成机制：渐近信念流、有限注意以及先验异质性。由于投资者异质信念更多的表现形式是一种主观形态,因此,如何更好地度量异质信念也是本文研究的一个内容。
在国内外已有的研究基础上,本文通过均值-方差分析方法,引入“一致性”信念概念后,建立了投资者异质信念下零-β的资本资产定价模型。本文研究发现,零-β异质信念CAPM同样表明了风险资产的期望收益是β的线性函数,但是,“一致性”信念下风险资产组合的有效前沿曲线与同质信念下的有效前沿曲线可能不再相同。同时,本文也证实了投资者对风险资产期末支付的信念分歧程度与均衡价格正相关。在异质个体模型(HAM)基础上,本文进一步研究了动态资产定价模型,推导出均衡存在及系统稳定所需要满足的条件,讨论了动态系统存在的分叉,并对系统的稳定性问题进行了简单的数值模拟。
本文以中国A股市场为例,从投资者异质信念视角下分别研究了金融市场中存在的两个著名的异象：盈余惯性及动量效应。研究表明,在意外盈余是负的情况下盈余惯性显著存在,如果意外盈余为正则盈余惯性现象不显著；然后,以分析师预测的标准差与其均值绝对值的比率作为异质信念的替代变量,研究发现异质信念能够解释盈余惯性现象存在的部分原因。
本文研究也表明短期内中国A股市场动量效应存在,在此基础上,以去趋势化换手率作为异质信念替代变量,形成期和持有期分别为1个月情形下,发现投资者异质信念短期内与动量效应正相关,投资者信念差异性越大,基于动量策略投资的收益也越高。
最后,根据研究结果,本文对如何培育一个运行良好的金融市场提供了几点对策建议,以期促进中国金融市场健康发展。同时,本文指出本研究存在之不足,未来研究需要进一步深化的地方。
Under uncertainty, investors are confronted with the changes of asset pricing's movement patterns and trajectory. It is the one of targets of financial economicist to understand how to price risk assets. Traditional Sharpe-Lintner-Mossin capital asset pricing model (CAPM) is one of the landmarks in the financial history. Because it is perfect and simple as so as easy to empirical testing, and so on, the CAPM is followed by many scholars.However, a growing number of empirical studies have shown that the traditional CAPM is difficult to explain asset's cross-section return changes.Therefore, the traditional CAPM is questioned that its established strict assumptions, especially, the assumption of investors homogeneity is far form reality, so it is suffered criticism of scholars.
Relaxing the assumption of homogenous investors, this dissertation studies risky assets pricing under investors with heterogeneous beliefs. The dissertation first defines the basic concept of "heterogeneous beliefs," it shows heterogeneous beliefs is that different investors in the same stock holding period, the estimations of the conditions expected return rate and variance-covariance matrix of risky asset return is different; then, this dissertation explores three different mechanism of heterogeneity of investor beliefs: asymptotic values flow, limited attention, and a priori heterogeneity. Heterogeneous beliefs of investors are more subjective form, therefore, how to better measure heterogeneity of beliefs is an element of this study.
The dissertation is on the basis of the existing excellent researchs, under the assumption of investor heterogenous beliefs it presents the static capital asset pricing model and zero-βcapitcal asset pricing model by the introduction of "consistency belief' under the framing of mean-variance analysis method. This dissertation finds that zero-βCAPM under heterogenous beliefs, as same as the traditonal CAPM, expected return of assets is a linear function of its risk; also, it confirms that investors belief (expected return) of risky asset positively correlated with the equilibrium price. At the same time, the dissertation also examined the evolution of heterogeneous beliefs that may exist in the context of dynamic asset pricing model under the heterogeneous agent model(HAM). In the model of dynamic asset pricing, the dissertation derives the conditions of existence and stability of equilibrium in the system needed to meet, moreover, it shows the issue of system stability by simple numerical simulation.
In the existing literatures, it is relatively little expirical study about the effects of heterogeneous beliefs on asset pricing. The dissertation studies two well-known anomalies: earnings mometum and momentum effect in the Chinese A-share market. This empirical study shows that the earnings mometum exists when unexpected earning is nagative, however, if unexpected earning is positive, the earnings monetum doesn't exist. Then, the dissertation defined the proxy variable of heterogeneous beliefs as the average ratio between the standard deviation of analyst forecasts of earnings and the absolute value of the mean of the forecasts, it shows heterogeneous beliefs can explain partly earnings momentum. The research shows that momentum effect exists in the short time in the Chinese
A-share market. It exploits detrend turnover as proxy variable of heterogeneous belief, finds heterogeneous belief positive correlation with momentum effect when formation and holding period is respectively one month. The more divergence of invests'belief, the return of momentum strategy is higher. Finally, according to the conclusion of this paper, the dissertation brings forward
some suggestion to cultivate a well-functioning financial market in order to guarantee the healthy growth of China stock market. Meanwhile, the dissertation points out what is the inadequacy of the study, what needs to further deepen in the future.
引文
prices are determined independenty of distribution of initial endowments" (Huang and Litzenberger,1988. P144,5.24)。根据上下文的推断,此处的“…独立地…所确定”我们认为应该理解为“…独立于…所确定”。文中我们还是根据宋逢明的译文来论述。
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