异质性信念、投资组合选择与证券价格
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摘要
现实的证券市场中，人们常常可以听到“投资者信心受挫，股市大幅下跌”，“投资者信心激增，股市有望大牛”，还有“投资者信心有待调整，股市前景莫测”等说法。同时，很多专业的从事证券分析和投资业务的投资经理和基金经理等分析专家，在进行证券投资过程中，并不完全用主流金融经济学的方法，而是大量采用经验工具，判断“市场人气”，揣摩投资者的信心和判断。由此可见，投资者的主观判断、对市场未来的看法和信心，以及各个投资者不同判断之间的影响，对证券价格具有重要的作用。然而主流的金融经济学似乎对投资者实际的投资策略置之不理，而是“形而上”的运用理性预期和代表性代理人的假设对资产定价等金融市场问题进行研究。事实证明无论是CAPM还是Black-Scholes期权定价模型等传统的资产定价理论，都无法成功的直接作用于现实。而行为金融学和心理经济学等边缘新兴学科对上述问题的研究又缺乏严格的逻辑框架和规范稳定的范式，所以不能广泛的被研究者所接受。
另外，以虚拟经济为特征的金融市场的价格作用机制明显确别于一般的实体经济市场。在传统的实体经济市场中，一般是价格越高需求越少(投机动机除外)，而在金融市场比如股票市场中，大多数时候股票价格不遵从此规律，而是经常价格越高，需求反而越高(投资者追涨杀跌的投资行为往往会产生这种问题)。因此，可以看出投资者对资产未来收益的预期是短期金融市场价格作用机制的核心，而现实证券市场中的投资者预期并不是相同，传统的资产定价理论总是在同质性信念的假设中研究证券价格问题。往往脱离了现实。因此如何让金融经济学的诸多经典的资产定价理论更加接近于现实，是一个具有很高挑战性的任务。本文就是在主流金融经济学的框架之内，以投资者异质性信念为核心概念，对金融市场的投资者资产选择和证券价格问题进行尝试性初步研究。
金融学意义上的信念是指主观概率。投资者的主观概率不同，其对证券收益的预期也就不同，从而对证券市场的价值判断和未来看法就不同——这就是异质性信念(heterogeneous belief)直观上的含义。本文研究了投资者信念对投资者投资组合选择行为和证券均衡价格的影响。在现实证券市场中，投资者所持有的证券组合存在着差异化的现象：有的投资者喜好个股，有的投资者偏重基金；另外随着时间的推移，投资者的投资组合选择也在发生变化。本文以异质性信念为核心概念，研究了其对投资者投资组合选择的影响，发现信念的异质性导致投资者投资组合构成权重的调整，从而引起投资组合的差异化，投资者投资组合选择会导致形成新的证券供求关系，而新的证券供求关系则会形成新的证券均衡价格。
本文的一个重要的挑战性工作是对传统的CAPM分析框架进行初步改进，把CAPM框架下的一个具有同质性信念的代表性代理人转变成具有不同信念的多个代理人，这些不同种类代理人的划分依据为后验的异质性信念——从长期来看，是推崇价值投资还是技术投资，从短期来看是看多还是看空，等等。这样由于信念的异质性，他们在VAR-MEAN空间内构建的投资组合前沿就不同，每一种信念的投资者代理人构建着一种投资组合前沿，因此使他们的资产组合选择也就有所差异。本文通过假设投资者代理人在VAR-MEAN空间内的效用函数来确定其资产组合点，通过分析这些组合点的构成来确定异质性信念对投资者资产组合选择的影响。
本文的另外一个重要工作是分析了异质性信念对证券均衡价格的影响。很多金融学家和证券分析师已经发现，投资者对某一证券的异质性信念的离散程度(dispersion)，会影响证券的价格，并且影响程度因证券自身的规模、价位等特点而不同。本文通过将一个传统的现值定价模型引入异质性信念，建立了一个基于异质性信念的证券现值定价模型，然后分析了市场上常见的两种信念作用下的资产定价模型，通过引入数值模拟，阐释了投资者异质性信念的作用机制。在实证研究方面，本文会对中国证券市场的某些异质信念影响证券价格现象进行实证和实验性分析(考虑到交易者真实数据的匮乏，本文无力进行较深层次的实证检验)，得出一系列可能对投资者有益的建议。
In the financial market, people can hear some ideas such as " the investors' belief was frustrated ", "the investors' confidence was boosted ", and "the investors' confidence should be adjusted" and so on. At the same time, there are many investment managers, who do not use the methods of the classical traditional financial theory but the empirical tools, observing the perspective of the markets, analyzing the investors' confidence and belief. So we can say that investors' confidence , belief and sentiment play important roles in the real market. However the traditional financial theory has been ignoring the practice strategies of investors, researching asset pricing by the assumption of rational expectation and single representative agent metaphysically. It is proved that neither the CAPM nor the Black-Scholes option-pricing model cannot succeed in practice. The same time the behavior finance and mentality economic lack an exacting and stable logic and paradigm, being not recognized by researchers.
Meanwhile we have noticed that the price mechanism of fictitious economy is different from that of the real economy. In the real economy higher price leads to lower demand, but in financial market such as stock market the asset price doesn't obey the rule, always the higher price leads to higher demand (when the investors go in as price ascends and out as price decrease). So we can conclude that the investors expectation play a key role in the pricing mechanism, but the traditional asset pricing theories have been hold the homogeneous belief which doesn't meet the true market. So how to make the classical asset pricing theory near to the practice is a challenging task. The paper researched the portfolio choice and stock price, basing on the key definition "heterogeneous belief" and the framework of traditional finance theory.
The belief means the subjective probability in financing explanation. The different subjective probability of investors leads to the different expectation, furthermore leads to the different perspective to the financial market. It is the visual definition of heterogeneous belief. The paper studied the impact of heterogeneous belief to the portfolio choice and stock price. In real stock market investors hold the portfolio heterogeneously: some one likes the single stock, some one like funds. Besides, the investors' portfolios change as the time passes. The paper studied the portfolio choice and stock price, finding the heterogeneous belief impacts the adjustment of the weight of portfolios and then leads to the difference of the portfolios and the new relationship between the demand and supply, and finally lead to the new price.
One of the paper's tasks is to improve the traditional asset pricing theory, changing the assumption of the CAPM of the homogeneous belief into the heterogeneous belief, the single preventative into the diverse preventatives. The different agents are separated by heterogeneous belief such as using value investment methods or technical investment methods in the long run, judging the future in a positive way or a negative way in the short run. Because of the heterogeneity of belief, their investment portfolio frontiers are different from each other in the VAR-MEAN space, then their portfolios are different from each other. The paper analyzed the structure of the portfolios assuming the diverse representatives choose their portfolios by their utility function.
The paper would also analyze the impact of the heterogeneous belief to the stock price. Many financial economist and investment managers have found that the dispersion of the heterogeneous belief would impact the stock price, and the impacting degree would be different for the difference of the scale and the price level. We set a asset pricing model to analyze the price mechanism of heterogeneous belief. The paper would test how the heterogeneous belief impacts the china stock market price (allowing for the data of traders is not plenary, we can't study empirically deeply) to gain some suggestions which may be useful to the investors.
另外，以虚拟经济为特征的金融市场的价格作用机制明显确别于一般的实体经济市场。在传统的实体经济市场中，一般是价格越高需求越少(投机动机除外)，而在金融市场比如股票市场中，大多数时候股票价格不遵从此规律，而是经常价格越高，需求反而越高(投资者追涨杀跌的投资行为往往会产生这种问题)。因此，可以看出投资者对资产未来收益的预期是短期金融市场价格作用机制的核心，而现实证券市场中的投资者预期并不是相同，传统的资产定价理论总是在同质性信念的假设中研究证券价格问题。往往脱离了现实。因此如何让金融经济学的诸多经典的资产定价理论更加接近于现实，是一个具有很高挑战性的任务。本文就是在主流金融经济学的框架之内，以投资者异质性信念为核心概念，对金融市场的投资者资产选择和证券价格问题进行尝试性初步研究。
金融学意义上的信念是指主观概率。投资者的主观概率不同，其对证券收益的预期也就不同，从而对证券市场的价值判断和未来看法就不同——这就是异质性信念(heterogeneous belief)直观上的含义。本文研究了投资者信念对投资者投资组合选择行为和证券均衡价格的影响。在现实证券市场中，投资者所持有的证券组合存在着差异化的现象：有的投资者喜好个股，有的投资者偏重基金；另外随着时间的推移，投资者的投资组合选择也在发生变化。本文以异质性信念为核心概念，研究了其对投资者投资组合选择的影响，发现信念的异质性导致投资者投资组合构成权重的调整，从而引起投资组合的差异化，投资者投资组合选择会导致形成新的证券供求关系，而新的证券供求关系则会形成新的证券均衡价格。
本文的一个重要的挑战性工作是对传统的CAPM分析框架进行初步改进，把CAPM框架下的一个具有同质性信念的代表性代理人转变成具有不同信念的多个代理人，这些不同种类代理人的划分依据为后验的异质性信念——从长期来看，是推崇价值投资还是技术投资，从短期来看是看多还是看空，等等。这样由于信念的异质性，他们在VAR-MEAN空间内构建的投资组合前沿就不同，每一种信念的投资者代理人构建着一种投资组合前沿，因此使他们的资产组合选择也就有所差异。本文通过假设投资者代理人在VAR-MEAN空间内的效用函数来确定其资产组合点，通过分析这些组合点的构成来确定异质性信念对投资者资产组合选择的影响。
本文的另外一个重要工作是分析了异质性信念对证券均衡价格的影响。很多金融学家和证券分析师已经发现，投资者对某一证券的异质性信念的离散程度(dispersion)，会影响证券的价格，并且影响程度因证券自身的规模、价位等特点而不同。本文通过将一个传统的现值定价模型引入异质性信念，建立了一个基于异质性信念的证券现值定价模型，然后分析了市场上常见的两种信念作用下的资产定价模型，通过引入数值模拟，阐释了投资者异质性信念的作用机制。在实证研究方面，本文会对中国证券市场的某些异质信念影响证券价格现象进行实证和实验性分析(考虑到交易者真实数据的匮乏，本文无力进行较深层次的实证检验)，得出一系列可能对投资者有益的建议。
In the financial market, people can hear some ideas such as " the investors' belief was frustrated ", "the investors' confidence was boosted ", and "the investors' confidence should be adjusted" and so on. At the same time, there are many investment managers, who do not use the methods of the classical traditional financial theory but the empirical tools, observing the perspective of the markets, analyzing the investors' confidence and belief. So we can say that investors' confidence , belief and sentiment play important roles in the real market. However the traditional financial theory has been ignoring the practice strategies of investors, researching asset pricing by the assumption of rational expectation and single representative agent metaphysically. It is proved that neither the CAPM nor the Black-Scholes option-pricing model cannot succeed in practice. The same time the behavior finance and mentality economic lack an exacting and stable logic and paradigm, being not recognized by researchers.
Meanwhile we have noticed that the price mechanism of fictitious economy is different from that of the real economy. In the real economy higher price leads to lower demand, but in financial market such as stock market the asset price doesn't obey the rule, always the higher price leads to higher demand (when the investors go in as price ascends and out as price decrease). So we can conclude that the investors expectation play a key role in the pricing mechanism, but the traditional asset pricing theories have been hold the homogeneous belief which doesn't meet the true market. So how to make the classical asset pricing theory near to the practice is a challenging task. The paper researched the portfolio choice and stock price, basing on the key definition "heterogeneous belief" and the framework of traditional finance theory.
The belief means the subjective probability in financing explanation. The different subjective probability of investors leads to the different expectation, furthermore leads to the different perspective to the financial market. It is the visual definition of heterogeneous belief. The paper studied the impact of heterogeneous belief to the portfolio choice and stock price. In real stock market investors hold the portfolio heterogeneously: some one likes the single stock, some one like funds. Besides, the investors' portfolios change as the time passes. The paper studied the portfolio choice and stock price, finding the heterogeneous belief impacts the adjustment of the weight of portfolios and then leads to the difference of the portfolios and the new relationship between the demand and supply, and finally lead to the new price.
One of the paper's tasks is to improve the traditional asset pricing theory, changing the assumption of the CAPM of the homogeneous belief into the heterogeneous belief, the single preventative into the diverse preventatives. The different agents are separated by heterogeneous belief such as using value investment methods or technical investment methods in the long run, judging the future in a positive way or a negative way in the short run. Because of the heterogeneity of belief, their investment portfolio frontiers are different from each other in the VAR-MEAN space, then their portfolios are different from each other. The paper analyzed the structure of the portfolios assuming the diverse representatives choose their portfolios by their utility function.
The paper would also analyze the impact of the heterogeneous belief to the stock price. Many financial economist and investment managers have found that the dispersion of the heterogeneous belief would impact the stock price, and the impacting degree would be different for the difference of the scale and the price level. We set a asset pricing model to analyze the price mechanism of heterogeneous belief. The paper would test how the heterogeneous belief impacts the china stock market price (allowing for the data of traders is not plenary, we can't study empirically deeply) to gain some suggestions which may be useful to the investors.
引文
[1] Evan W. Anderson, Eric Ghysels, Jennifer L. Juergens, 2005, Do Heterogeneous Beliefs Matter for Asset Pricing?"[J], Review of Financial Studies, Vol. 18 Issue 3, p875-924, 50p.
[2] Black Fl. Noise [J]. Journal of Finance, 1986, (41): 529-542.
[3] Campbell, Cochrance, By Force of Habit, A Consumption Based Explanation of Aggregate S tock Market Behavior [J], Journal of Political Economy, 1999, No1107,205～2511
[4] Miller, Edward M., 1977, Risk, uncertainty, and divergence of opinion, The Journal of Finance 32, 1151-1168.
[5] Friend I. and Blume, M. (1975). "The Demand for Risky Assets," American Economic Review, vol. 65, 900-922
[6] Heaton, John, and Deborah Lucas, 1999, Stock prices and fundamentals., NBER Macro-economic Annual, pp. 213-241.
[7] Jouini Elyes, Napp Clotilde, 2006, ThisHeterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt. Journal of Economic Dynamics & Control, Vol. 30 Issue 7, p1233-1260, 28p.
[8] Stephanie Curcuru, John Heaton, Deborah Lucas and Damien Moor (2004), "Heterogeneity and Portfolio Choice: Theory and Evidence", work paper.
[9] Grossman, Sandord J., and Joseph E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
[10] Diamond, Douglas W., and Robert E. Verrecchia, 1981, Information aggregation in a noisy rational expectations economy, Journal of Financial Economics 9, 221-235.
[11] Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277-311.
[12] Tirole, J, 1982, On the possibility of speculation under rational expectations, Econometrica 50, 1163-1182.
[13] Harrison, J. Michael, and David M. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, The Quarterly Journal of conomics 92, 323-336.
[14] Morris, Stephen, 1996, Speculative investor behavior and learning, The Quarterly Journal of Economics 111, 1111-1133.
[15] Kandel, Eugene, and Neil D. Pearson, 1995, Differential interpretation of public signals and trade in speculative markets, The Journal of Political Economy 103, 831-872.
[16] Harris, Milton, and Artur Raviv, 1993, Differences of opinion make a horse race, The Review of Financial Studies 6, 473-506.
[17] Laurence Lasselle, Serge Svizzero, Clem Tisdell, 2001, Heterogeneous Beliefs and Instability, 2001 MMF (Money, Macro and Finance Group) conference paper.
[18] H. Peter Boswijk Cars H. Hommes Sebastiano Manzan, 2003, Behavioral Heterogeneity in Stock Prices [J], IFAC symposium Computational Economics, Finance and Engineering, Seattle, 28-30.
[19] 张圣平：偏好、信念、信息与证券价格[M]，人民出版社，2002年第1版。
[20] 熊和平：消费习惯、异质偏好与动态资产定价：纯交换经济情形[J]，经济研究，2005年第10期。
[21] 朱宝军，吴冲锋：异质投资者与资产定价：一个新的资本资产定价模型[J]，数量经济与技术经济研究，2005年第6期。
[22] Sharpe, William E, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425-442.
[23] Lintner, John: The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets [J], Review of Economics and Statistics, 1965, 47, 13-37.
[24] Lintner, John: The aggregation of investors' diverse judgments and preferences in purely competitive securities markets [J], Journal of Financial and Quantitative Analysis 1969, 4, 347-400.
[25] 王惠文：过度投机一理性还是非理性[A] 载于成思危诊断与治疗：揭示中国的股票市场[M]北京：经济科学出版社2003年第一版：
[26] Williams, Joseph T., 1977, Capital asset prices with heterogeneous beliefs, Journal of Financial Economics 5, 219-239.
[27] Arbel, Avner, and Paul J. Strebel, 1983, Pay attention to neglected firms!, Journal of Portfolio Management 9, 37-42.
[28] Varian, Hal R., 1989, Differences of opinion in financial markets, in Courtenay C. Stone, ed.: Financial Risk: Evidence and Implications, Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis (Kluwer, Boston).
[29] 约翰．N．地勒巴克等编：新制度经济学前沿[M]，经济科学出版社，2003年第1版。
[2] Black Fl. Noise [J]. Journal of Finance, 1986, (41): 529-542.
[3] Campbell, Cochrance, By Force of Habit, A Consumption Based Explanation of Aggregate S tock Market Behavior [J], Journal of Political Economy, 1999, No1107,205～2511
[4] Miller, Edward M., 1977, Risk, uncertainty, and divergence of opinion, The Journal of Finance 32, 1151-1168.
[5] Friend I. and Blume, M. (1975). "The Demand for Risky Assets," American Economic Review, vol. 65, 900-922
[6] Heaton, John, and Deborah Lucas, 1999, Stock prices and fundamentals., NBER Macro-economic Annual, pp. 213-241.
[7] Jouini Elyes, Napp Clotilde, 2006, ThisHeterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt. Journal of Economic Dynamics & Control, Vol. 30 Issue 7, p1233-1260, 28p.
[8] Stephanie Curcuru, John Heaton, Deborah Lucas and Damien Moor (2004), "Heterogeneity and Portfolio Choice: Theory and Evidence", work paper.
[9] Grossman, Sandord J., and Joseph E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
[10] Diamond, Douglas W., and Robert E. Verrecchia, 1981, Information aggregation in a noisy rational expectations economy, Journal of Financial Economics 9, 221-235.
[11] Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277-311.
[12] Tirole, J, 1982, On the possibility of speculation under rational expectations, Econometrica 50, 1163-1182.
[13] Harrison, J. Michael, and David M. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, The Quarterly Journal of conomics 92, 323-336.
[14] Morris, Stephen, 1996, Speculative investor behavior and learning, The Quarterly Journal of Economics 111, 1111-1133.
[15] Kandel, Eugene, and Neil D. Pearson, 1995, Differential interpretation of public signals and trade in speculative markets, The Journal of Political Economy 103, 831-872.
[16] Harris, Milton, and Artur Raviv, 1993, Differences of opinion make a horse race, The Review of Financial Studies 6, 473-506.
[17] Laurence Lasselle, Serge Svizzero, Clem Tisdell, 2001, Heterogeneous Beliefs and Instability, 2001 MMF (Money, Macro and Finance Group) conference paper.
[18] H. Peter Boswijk Cars H. Hommes Sebastiano Manzan, 2003, Behavioral Heterogeneity in Stock Prices [J], IFAC symposium Computational Economics, Finance and Engineering, Seattle, 28-30.
[19] 张圣平：偏好、信念、信息与证券价格[M]，人民出版社，2002年第1版。
[20] 熊和平：消费习惯、异质偏好与动态资产定价：纯交换经济情形[J]，经济研究，2005年第10期。
[21] 朱宝军，吴冲锋：异质投资者与资产定价：一个新的资本资产定价模型[J]，数量经济与技术经济研究，2005年第6期。
[22] Sharpe, William E, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425-442.
[23] Lintner, John: The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets [J], Review of Economics and Statistics, 1965, 47, 13-37.
[24] Lintner, John: The aggregation of investors' diverse judgments and preferences in purely competitive securities markets [J], Journal of Financial and Quantitative Analysis 1969, 4, 347-400.
[25] 王惠文：过度投机一理性还是非理性[A] 载于成思危诊断与治疗：揭示中国的股票市场[M]北京：经济科学出版社2003年第一版：
[26] Williams, Joseph T., 1977, Capital asset prices with heterogeneous beliefs, Journal of Financial Economics 5, 219-239.
[27] Arbel, Avner, and Paul J. Strebel, 1983, Pay attention to neglected firms!, Journal of Portfolio Management 9, 37-42.
[28] Varian, Hal R., 1989, Differences of opinion in financial markets, in Courtenay C. Stone, ed.: Financial Risk: Evidence and Implications, Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis (Kluwer, Boston).
[29] 约翰．N．地勒巴克等编：新制度经济学前沿[M]，经济科学出版社，2003年第1版。