摘要
锚定效应影响投资者信念的更新进而影响风险资产定价。本文以Ornstein-Uhlenbeck过程刻画投资者锚定信念的均值回归过程,构建基于异质锚定信念的资产定价模型,推导出持有不同锚定信念的投资者对风险资产的需求及资产均衡价格。通过数值模拟研究表明:投资者锚定信念对风险资产均衡价格的形成产生不对称作用;异质锚定信念影响投资者对风险资产持有行为,进而对市场流动性、波动性和市场效率产生影响。
The anchoring effect affects the updating of investors’beliefs,which in turn affects the pricing of risky assets.The paper employs Ornstein-Uhlenbeck process to depict the mean regression process of investors’anchoring beliefs,and constructs an asset pricing model based on heterogeneous anchoring beliefs,and derives the demands for risky assets of investors who is holding different anchoring beliefs and asset equilibrium price.The numerical simulation research results show that:investors’anchoring beliefs affect the equilibrium price of risky asset and have an asymmetric effect on the formation of equilibrium price;heterogeneous anchoring beliefs affect investors’holding behavior towards risky asset,thereby affecting market liquidity,volatility,and efficiency.
出处
《投资研究》
CSSCI
北大核心
2024年第2期145-159,共15页
Review of Investment Studies
基金
福建省社会科学基金项目“基于投资者异质信念的资本市场错误定价与高质量发展研究”(FJ2021C088)
福建理工大学科研发展基金“基于异质参照偏好的投资者行为决策机制与资产定价研究”(GY-S19073
GY-S19017)
关键词
锚定效应
异质信念
资产定价
锚定信念
Anchoring effect
Heterogeneous beliefs
Asset pricing
Anchoring belief
