基于投资者情绪的市场均衡分析

doi:10.12005/orms.2015.0215

运筹与管理 ›› 2015, Vol. 24 ›› Issue (6): 211-216.DOI: 10.12005/orms.2015.0215

基于投资者情绪的市场均衡分析

谢军¹ , 高斌²

1.广西大学数学与信息科学学院,广西南宁 530004;
2.华南理工大学经济与贸易学院,广东广州 510006

收稿日期:2012-07-23 出版日期:2015-12-25
作者简介:谢军(1980-),男,博士,副教授,主要研究领域:金融工程、行为金融;高斌(1984-),男,博士后,主要研究领域:行为金融。
基金资助:
国家自然科学基金资助项目(71201037);广西自然科学基金项目(2015jjBA10015)

Market Equilibrium Analysis Based on Investor Sentiment

XIE Jun¹, GAO Bin²

1.College of Mathematics and Information Sciences, Guangxi University, Nanning 530004, China;
2.School of Economics and Commerce, South China University of Technology, Guangzhou, 510006, China

Received:2012-07-23 Online:2015-12-25

摘要/Abstract

摘要： 在行为金融研究框架下,通过分析情绪投资者与理性投资者的市场均衡条件,构建基于投资者情绪的资产定价模型,并对模型进行了数值模拟。结果表明,投资者情绪是影响资产价格的重要因素:被情绪投资者高估的资产,其回报将下降;被情绪投资者低估的资产,其回报将增加;资产回报的变化程度与情绪投资者卖出低估资产的份额正相关,与资产预期回报金额的相关系数负相关;并且,乐观情绪与悲观情绪对资产价格的作用是非对称的。

关键词: 行为金融, 投资者情绪, 市场均衡, 资产价格

Abstract: Under the analysis framework of behavioral finance, emotional investor and rational investor are taken intoaccount. This paper presents the asset pricing model of market equilibrium based on investor sentiment, and gives a numerical simulation. The results show that investor sentiment is the key factor which affects the asset pricing. The asset which is overestimated by emotional investor has the low return, and the asset which is underestimated by emotional investor has the hight return. The increasing level or the decreasing level of return has the positive correlation with the proportion of the asset which is underestimated and sold by emotional investor, and has the negetive correlation with the expected money payoff. Finanly, the asymmetrical effect of optimism and pessimism is showed by our model. We give an effective explanation of why some people may earn nothing in the bull market, and we also give an effective explanation of why the stock price falls rapidly but rises slowly.

Key words: behavioral finance, investor sentiment, market equilibrium, asset price

中图分类号:

F830.91

谢军 , 高斌. 基于投资者情绪的市场均衡分析[J]. 运筹与管理, 2015, 24(6): 211-216.

XIE Jun, GAO Bin. Market Equilibrium Analysis Based on Investor Sentiment[J]. Operations Research and Management Science, 2015, 24(6): 211-216.

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基于投资者情绪的市场均衡分析

Market Equilibrium Analysis Based on Investor Sentiment

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