异质信念_卖空限制与风险资产价格

张维1,2,张永杰1(1.,300072;2.,300222):在考察投资者信念形成影响因素的基础上,提出了股票市场中投资者异质信念的假设,并据此推导出了一个基于异质信念的风险资产价格均衡模型.这一模型从理论上证明了对股票价格产生影响的不仅包括那些影响公司经营前景的因素,还包括投资者意见分歧的程度.根据这一模型可以对金融市场上许多异象提出一致的解释性假说.:异质信念;股票价格;资产定价;均衡模型:F830.91:A:1007-9807(2006)04-0058-070(HeterogeneousBeliefs)!,(DifferentOpinions).,[1],.(CommonSense),!,,.,.01[2,3]∀,.[4],[4],.,,,!.[4],,,(),.,.,[5],;[6,7],;[8~10],.9420068JOURNALOFMANAGEMENTSCIENCESINCHINAVol.9No4.Aug.2006∀[2]!.:2005-01-04;:2006-04-06.:(70471062).:(1958#),,,,,.CAPM∃,%,,.02,,DSSW[13]BSV[14]HS[15]BHS[16]DHS[17].,,,,,.,.,!,CAPM,,,,.,,.,,.03[18]1977!,.,-,,.,[18]&,,,-.[20~22].,[23],:,[23]!,,,!.,[23],,.,[24,25],[23],,.,∋,[18].[26~28][18],!.,,-,[18],,.#59#4:∃%&∋[26],1926#1933.,OTC..[19][18]!.,[12].[3],[11],CAPM(ZeroCAPM,ICAPM).,,.,,,(1998)!!.;,!,,,.(!,0.3,;0.2,.!1.1.)(1)[13,15];(2)[2,13];(3)[13];(4)[2,3];(5)[11];(6)[2,29].,(.11.1),,,.:(1),P;(2),0,1,rf,;(3)N,W0,,01;(4).(5),(0);(6)1.,,,,M,.,[18],NM.,,,,;,,,1,k,1fkf0,f,1.11Fig.1Distributionofexpectedprice.1,1fk.1,k,,N(f0,2f).f01,ffk,.,[13],1,,1#60#20068s.1.2k,01Wk1,MxU(Wk1)=E[-e-Wk1](1)[26],Wk1,(1)Wk1-22Wk1(2),k,01.,(2)fkPW0-2W202s(3)(1+rf)W0(4),(1)(2),(3)(4).h(3)(4),fhPW0-2W202s(1+rf)W0(5),fhP(1+rf+2W02s)(6),.,j(4)(3),fjP(1+rf+2W02s)(7),∗.q,,,.fqPW0-2W202s=(1+rf)W0(8)fq=P(1+rf+2W02s)(9)2.Mhq,j,h,,.j,,,,h,jh,,,,jqh,.h.1,Nh+Nq+MNh,M(10)NhNqhq.,,hq,h.(10)N,hq(Nh+Nq)/N+M/NNh/N,M/N(11)(6)(7)(9)fhfq,fjfq.2.1fkN(f0,2f),hqP{fkfq}=1-!(fq-f0f)P{fk=fq}=0(12),!(x)=−x-.12∀e-x2/2,-.x+..#61#4:∗[30]([31])allornone.P{fkfq}Nh/Nh,P{fk=fq}Nq/Nq,(11)(12),fq=f0+fQ(N-MN)(13),!(Q(x))=x,0x1.(9)(13),P=f0+fQ(N-MN)1+rf+2W02s(14),NMW0.(14),..2s=0,f=0,,P/=f01+rf(15).2s00,f=0,,,P1=f01+rf+2W02s(16)f0/P1-1=rf+2W02s(17)2W02s,2s.3(14)(17),,,,;,.,[33]!,,(),!.(consistent).:IPO[34~36][37~39][40].IPO.,,,,,;,,,,IPO.4,,.,;,,.,,,.,.#62#20068,,,,[32].:[1]MarkowitzH.Portfolioselection[J].JournalofFinance,1952,7:77#91.[2]SharpeW.CapitalAssetPrices:Atheoryofmarketequilibriumunderconditionsofrisk[J].JournalofFinance,1964,19:425#442.[3]BlackF.Capitalmarketequilibriumwithrestrictedborrowing[J].JournalofBusiness,1972,45:444#455.[4].[M].:,2002.2#4.ZhangShengping.Preferences,Beliefs,InformationandSecurityPrice[M].Shanghai:ShanghaiPeople2sPublishingHouse,2002.2#4.(inChinese)[5]GrossmanS,StiglitzJ.Ontheimpossibilityofinformationallyefficientmarkets[J].AmericanEconomicReview,1980,70:393#408.[6]BannerjeeA.Asimplemodelofherdbehavior[J].QuarterlyJournalofEconomics,1992,107:797#817.[7]CochraneJ.Newfactsinfinance[J].EconomicPerspectives,1999,23(3):36#58.[8]KahnemanD,TverskyA.Judgmentunderuncertainty:Heuristicsandbiases[J].Science,1974,185:1124#1131.[9]LordC,RossL,LepperM.Biasedassimilationandattitudepolarization:Theeffectsofpriortheoriesonsubsequentlyconsideredevidence[J].JournalofPersonalityandSocialPsychology,1979,37:2098#2109.[10]EdwardsW.ConservatisminHumanInformationProcessing[A].InKleinmutzB.eds.FormalRepresentationofHumanJudgment[C].NewYork:JohnWileyandSons,1986.[11]MertonR.Anintertemporalcapitalassetpricingmodel[J].Econometrica,1973,41:867#887.[12]ShillerR.Fromefficientmarkettheorytobehavioralfinance[J].JournalofEconomicPerspectives,2003,17:83#105.[13]DeLong,ShleiferA,SummersL,WaldmannR.Noisetraderriskinfinancialmarket[J].JournalofBusiness,1991,64:1#20.[14]BarberisN,ShleiferA,VishnyR.Amodelofinvestorsentiment[J].JournalofFinancialEconomics,1998,9:307#343.[15]HongH,SteinJ.Aunifiedtheoryofunderreaction,momentumtrading,andoverreactioninassetmarkets[J].JournalofFinance,1999,54:2143#2184.[16]BarberisN,HuangM,SantosT.Prospecttheoryandassetprices[J].QuarterlyJournalofEconomics,2001,116:1#53.[17]DanielK,HirshleiferD,SubrahmanyamA.Overconfidence,arbitrage,andequilibriumassetpricing[J].JournalofFinance,2001,56:921#965.[18]MillerE.Risk,uncertaintyanddivergenceofopinion[J].JournalofFinance,1977,32:1151#1168.[19]BarberisN,ThalerR.ASurveyofBehavioralFinance[A].InConstantinidesG,HarrisM,StulzR.Eds,TheHandbookofEconomicsofFinance1B[M].NewYork:Elsevier,2003,andNBERWorkingPaperNo.9222.[20]MillerE.Equilibriumwithdivergenceofopinion[J].ReviewofFinancialEconomics,2000,9:27#41.[21]MillerE.Whythelowreturnstobetaandotherformsofrisk[J].JournalofPortfolioManagement,2001,27:40#55.[22]ScheinkmanJ,XiongW.Overconfidenceandspeculativebubbles[J].JournalofPoliticalEconomy,2003,111:1183#1219.[23]LevyM,LevyH,SolomonS.MicroscopicSimulationofFinancialMarket#FromInvestorBehaviortoMarketPhenomena[M].SanDiego:AcademicPress,2000.[24]LeBaronB.Agent_basedComputationalFinance[A].DraftandForthcominginJuddK,TesfatsionL.Eds,TheHandbookofComputationalEconomicsII[M].Amsterdam:NorthHolland,2005.[25]HommesC.HeterogeneousAgentsModelsinEconomicsandFinance[A].DraftandforthcominginJuddK,TesfatsionL.Eds,TheHandbookofComputationalEconomicsII[M].Amsterdam:NorthHolland,2005.[26]JonesC,LamontO.Shortsaleconstraintsandstockreturns[J].JournalofFinancialEconomics,2002,66:207#239.[27]ChenJ,HongH,SteinJ.Breadthofownershipandstockreturns[J].JournalofFinancialEconomics,2002,66:171#205.[28]DietherK,MalloyC,ScherbinaA.Differencesofopinionandthecrosssectionofst