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3:,,,,,,:3,,:100029,:wxwu@amss.ac.cn;,,:yw2186@columbia.edu;,,:100080,:lhy@amss.ac.cnPrincetonWeiXiongJialinYu;,,11,(JeromeD.Frank,1935)(Fischhoff,1977)(Overconfidence)Hvide(2002),(Hubris);(AlpertandRaiffa,1959;Lichtenstein,1982),,,,,,90%810,,90%612,,21,,KyleWang(1997),,,,,,,,,,,,,51120064Benos(1998)Odean(1998a),Odean(1998a),,,,,,Benos(1998),,,,Benos(1998)andOdean(1998a),(multi2prior)(GilboaSchmeidler,1989),(ModelUncertainty),(MarketParticipation);,,Daniel(1998)(RepresentativeInvestor),:,;,,,,(Daniel)ScheinkmanXiong(2003),,,,,,,()Odean(1999),,,,,,;,,Odean,,,!,,,,,BarberOdean(2001),,,,;:45%,,2165%;1172%Odean,(2004)611:,1998,76%,Odean(1999),,(Misinterpret),,,,,;,,HongStein(1999),Daniel(1998),,()Benos(1998),,,31,;(LimitedParticipation)MankiwZeldes(1991),2716%Guo(2001),1998,1%,93%;10%,85%,CAPM,,,;AllenGale(1994),Williamson(1994),Vissing2Jorgenson(2002)YaronZhang(2000),(EntryCosts)Cao,WangZhang(2005),,,,Cao(2005),,(2004),,P,,,(2004):,,Vissing2Jorgensen(2002)PSID,,,(Non2financialIncome);,,,,,,,,,,:,71120064,,Brav2Constantinides2Geczy(2002)Hong,KubikStein(2004),,:CCAPM,,,,,,;,,,,,11k,1-k,,,M,M0;(Payoff)X,2Merton(1990),P,,,,:(1)X;(2)2,CAPMCCAPM,21CARAu(W),W,Multi2prior(GilboaandSchmeidler,1989):minQP{EQu(W)}(1)EQQ,PGilboaSchmeidler(1989)PEQu(W),P,,X(+v),v,:v22(2),,,,,,,P(+v)2,v(2)()vv22C(3),S1=[-,+](4),,S1c811:Cao,WangZhang(2005),,;,,,,,,,,,Bollerslev,ChouKroner(1992),S2=[-C,+C](5):C=,01(6),,kP(2),(1-k)P2C11,P,,:W1i=W0i+i(X-P)W0iW1i,iiCARA,i:maximinvi(+v-P)-222i,j:maxjminvj(+vC-P)-222j,maxii[-P-sgn(i)]-222i(7)maxjj[-P-sgn(j)C]-222j(8),:i=12(--P):-P0:--P12(+-P):-P-(9),,:(-P)(,-P-),()[-,],P[-,+],,,,,,:j=12(-C-P):-PC0:-C-PC12(+C-P):-P-C(10)91120064:,,,(9)(10),,,,,:1:,-P0:,-P0,(9)(10),,i0;,j0,,,,!,,,,,,,-P,,;P,0,,-P(EquityPremium)1,,,,,,,,,,,211,,,,,,(9)(10),:(),-Pmax{}=+;(),-Pmax{C}=+C()(),:M=iS112(-i-P)k2di+jS212(-j-P)1-k2Cdj=-P2-2(11)(11),P:-P=2M+(12)()()(12),,,2M,(12)Cao,WangZhang(2005),,;,,,,,,,C,,,,021:,CaoWangZhang(2005),(Daniel,1998,2001),,,,(12),,31(9)(10),,,-P,;,CC-P,,5:1(,,,)11-P-,(9)(10),,;21--P-C,,;31-C-P+C,,,;41+C-P+,,;51-P+,,312(1)11,(IPO),,,,IPO,,,IPO(2)22,--P-C,,,,,,,!,,-P,,,:12120064M=-P-12(-i-P)k2di(13):-P=-+2Mk=2M+U(14),=k[(-P)-(-)]2=Mkk,(15);U=12[(-P)+(-)]=Mk+(-)(16),,--P-C,:(-C)242Mk(17)(14),,,,,,;,:1:(-C)242Mk,,,(a),550;(b)M,5U5=-2k2k0(c)-P,5(-P)5=-kk0,,,,,:,(),,(),,;,,,,2:,55k0,5M5k0;,5(-P)5k02,,,,221:,,,,,,,,,,,(IPO),,,,,,,,(3)33,-C-P+C,,,,,:M=-P-12(-i-P)k2di+-P-C1-k2(-j-P)312Cdj(18):-P=-+4M22+42(1-k-(1-k))2(19),q=1,=k+q(1-k)(2004),:3=k[(-P)-(-)]2:3=(1-k)[(-P)-(-C)]2C:,,,,(4)44,+C-P+,,:M=-P-12(-i-P)k2di++C-C1-k2(-j-P)312Cdj(20)-P=[(-)k-2(1-k)]+22(1-k)+kM2k=+-2k+22(1-k)+kM2k2(21),,,,,,32120064,,,,,Daniel(1998,2001),Cao(2005),,,11-P,,,1,,,,,,,-P,,,,21,,(2004),(2005),,,,,31,,,,,,,41(),,,,,,,,,,,,,421:,,,,,,Diether,MalloyScherbina(2002),SadkaScherbina(2004),,:,,,,,,,,,,,,,,,,,,,,,,,,,,,:;,,,,,(),:,2004:,?,,2004:,13,2004:,8,2005:,5Allen,F.andD.Gale,1994,LimitedMarketParticipationandVolatilityofAssetPrices.AmericanEconomicReview,September84.Alpert,MarcandRaiffa,Howard,1982,AProgressReportontheTrainingofProbabilityAssessors,inJudgmentUnderUncertainty:HeuristicsandBiases,DanielKahneman,PaulSlovic,andAmosTversky,eds.CambridgeandNewYork:CambridgeUniversityPress,1982.Barber,BradM.andOdean,Terrance,2001,Boyswillbeboys:Gender,Overconfidence,andCommonStockInvestment,TheQuarterlyJournalofEconomics,February,PP261292.Benos,AlexandrosV.,1998,AggressivenessandSurvivalofOverconfidentTraders.JournalofFinancialMarkets,October,1(34).Bollerslev,Tim,RayYeutienChouandKennethKroner,1992,ARCHModelinginFinance:AReviewoftheTheoryandEmpirical52120064(2004)(StylizedFacts),;Evidence,JournalofEconometrics,vol.52,PP559.Cao,Henry,TanWangandHaroldH.Zhang,2005,ModelUncertainty,LimitedMarketParticipationandAssetPrices,TheReviewofFinancialStudies,18:PP12191251.Daniel,Kent;Hirshleifer,DavidandSubrahmanyam,Avanidhar,1998,InvestorPsychologyandSecurityMarketUnder2andOverreactions.JournalofFinance,53(6),December,PP183986.Daniel,K.D.,D.Hirshleifer,andA.Subrahmanyam,2001,Overconfidence,arbitrage,andequilibriumassetpricing,JournalofFinance56,PP921965.Diether,K.B.,C.J.Malloy,andA.Scherbina,2002,DifferenceofOpinionandtheCross2SectionofStockReturns,JournalofFinance,57(5),PP21332141.Fischhoff,Baruch,PaulSlovic,andSarahLichtenstein,1977,KnowingwithCertainty:TheAppropriatenessofExtremeConfidence,JournalofExperimentalPsychology,,PP552564.Frank,JeromeD.,1935,SomePsychologicalDeterminantsoftheLevelofAspiration.AmericanJournalofPsychology,April47(2).Gervais,Simon,andTerranceOdean,2001,LearningtoBeOverconfident,TheReviewofFinancialStudies,Spring,Vol.14,No.1.Gilboa,I.andD.Schmeidler,1989,MaxminExpectedUtilitywithaNon2UniquePrior,JournalofMathematicalEconomics18.HongHarrison,JeffreyD.Kubik,andJeremyC.Stein,2004,SocialInteractionandStock2MarketParticipation,JournalofFinance,VolLIX,No.1,PP137163.Hong