Abstract: The phenomenon of asset price bubbles as well as the financial crisis triggered by the bursting of the asset price bubble results in more questions about the existence and consistency of efficient market hypothesis. This leads to more and more interpretation from the perspective of behavioral finance: the collapse of the bubble is caused by the trading behavior of irrational investors .This paper proposes a heterogeneous agent pricing model where two types of rational traders coexist in an efficient market: short-term speculators and long-term fundamentalists, both sharing the same information set. In this framework, excess volatility created by the speculators’expectations is magnified by the share of long-term traders. Logically, this phenomenon leads to higher price volatility and more dramatic crashes. Regulators should therefore be aware that efforts to limit rational speculation might, surprisingly, end up increasing volatility.

Key words: efficient market hypothesis, rational expectations, heterogeneous agent model, asset price bubbles

摘要： 资产价格泡沫等市场异常现象使得有效市场假说理论受到质疑,研究者们更多的是从行为金融学的角度对这些现象进行解释,认为是由市场投资者的非理性因素所造成的。本文考虑了市场中投资者决策的异质性,构建了含有长期基础投资者和短期技术投资者的异质交易模型,以说明在投资者均具有理性预期的条件下,有效市场假说理论同样可以解释泡沫的产生。具体而言,技术投资者的交易行为使价格产生波动,基础投资者的存在则对波动起到放大作用,并会进一步导致泡沫的出现,随着基础投资者所占的比例增大,泡沫膨胀的速度加快,由此导致市场的波动越剧烈。研究结果为市场监管者提供了有益的启示:与其设置壁垒限制技术投资者的加入及交易活动,不如让越来越多的技术投资者加入到市场中来,这样更有益于市场的稳定。

关键词: 有效市场假说, 理性预期, 异质交易者模型, 资产价格泡沫