异质信念

投资者异质信念的进化研究。

A study on the evolution of investors ' heterogeneous beliefs .

基于投资者异质信念的均衡资产定价模型研究

The Equilibrium Asset Pricing Model Based on Investors ' Heterogeneous Beliefs

基于价格不完全揭示信息的异质信念资产定价研究。

Heterogeneous beliefs asset pricing model based on partial reveal .

基于异质信念的股票市场均衡研究及我国股市的实证检验

Stock Market Equilibrium with Heterogeneous Beliefs and Evidence from China Stock Markets

异质信念、卖空限制与我国股市的暴跌现象研究

Short Sale Restriction , Heterogeneous Beliefs and Stock Price Crash in China

投资者的后验异质信念与信号的强度正相关。

There is positive correlation between investors ' posterior heterogeneous beliefs and signal .

最后，本文研究了我国在允许融券卖空的基础上，异质信念是否对股票市场的收益产生了影响。

Lastly , the article studied if Heterogeneous Beliefs would affect stock yield when short-sale is allowed .

与此同时，本文从异质信念视角进一步提出会计信息价值相关性研究新的研究思路。

Meanwhile , this paper further puts forward new perspective of value relevance research of accounting information from heterogeneous belief Angle .

模型得出了投资者的异质信念程度与股票市场价格同向变化的结论。

The model results show that the degree of the investors ' heterogeneous beliefs changes with the stock market price in the same direction .

另一方面，从异质信念视角进一步对会计信息价值相关性进行理论分析。

On the other hand , based on the heterogeneous beliefs , we further make theoretical analysis for the value relevance of the accounting information .

本文从异质信念视角，遵循行为金融的研究思路，进一步拓宽了价值相关性的研究领域和视野。

In this paper , follow from heterogeneous belief perspective which are the ideas of the behavioral finance this paper have widened research areas and vision of value relevance .

投资者异质信念的进化，存在多种均衡的可能，有可能收敛到同质信念，但也可能收敛到异质信念共存的情况。

The evolution of investors ' heterogeneous beliefs exists several equilibriums , the evolution may converge to homogeneous belief , and also may converge to the coexistence of heterogeneous beliefs .

借鉴投资者异质信念理论，我们将其界定为公司治理信息通过投资者异质信念这一中介变量影响股票超额收益和投资风险的传导机制。

Based on the theory of investors ' heterogeneous beliefs , we defined investors ' heterogeneous beliefs as an intermediary variable which influence the abnormal return and invest risk of stock .

在横截面分析中，无论是否加入β值、公司规模、账面/市值比、动量因素或者是流动性因素，我国股市均表现出异质信念与股票横截面收益的显著负相关性。

Third , no matter added betas , size , book-to-market , momentum or liquidity , the negative relation between divergence of opinions and stock returns is significant in cross-section regression strategy .

稳健性检验表明：异质信念对股票收益的影响延续时间较长，在不同的时间区间内也都显著存在，与之前结论一致。

Fourth , robust test indicates that divergence of opinions has a long period effect on stock returns , and the effect is significant in different years , the result is consistent .

研究表明，即使不存在卖空限制，我国依然存在特质波动率之谜现象，并且该现象可以部分的由异质信念来解释。

Experimental investigation shows that the phenomenon of " the idiosyncratic volatility puzzle " exists in China whether there is short-selling mechanism . And this phenomenon can partly be explained by heterogeneous beliefs .

但是由于模型推导的复杂性和实证数据不足等困难，基于异质信念资产定价的理论和实证研究成果在二十世纪并不太丰富。

However because of the complexity of the model and insufficient of data , the achievement which is based on the heterogeneous beliefs theory and empirical study in the 20th century is not rich .

考察中国证券市场盈余公告后股价持续漂移的特征发现，异质信念投资者对股票的非预期盈余有一定的预测能力。

Studying the characteristics of stock price continuing drift after Post-Earnings - Announcement of Chinese securities market , it found that heterogeneous beliefs of investors has a certain degree of predictive capability on the stock of Standardized unexpected earning .

但是，在现实世界中，市场运行的一些本质机制造成投资者对于相同资产未来收益的概率分布持有不同的意见，即存在异质信念，它将会对股票收益产生显著的影响。

But , because of some intrinsic mechanism of the market in realistic world , investors have Heterogeneous Beliefs on the return of the same asset , namely divergence of opinions , which will influence the returns of stocks significantly .

了解和认识投资者异质信念，知晓它会引起投资者信息反应模式的差异，发现和研究它对市场动态变化及对资源配置效率的影响，是非常有意义的。

To understand and know investors heterogeneous belief , to know the investors information reaction model difference , and to discover the market dynamic change and the influence of the allocation of resources efficiency , is very significant for our securities market .

接着对异质信念对于股票暴跌的影响进行研究，选择负偏度和波动率比作为解释变量，通过面板数据回归后发现：我国证券市场的暴跌与异质信念没有显著的相关性。

Thirdly , the article studied the impact of Heterogeneous Beliefs on stock market plunge , where negative skewness and volatility ratios are chosen as explanatory variables . The result shows that Chinese stock market plunge is not significantly correlated with Heterogeneous Beliefs .

本研究在前人对上述问题研究的基础上，依赖行为金融学的理论成果，运用异质信念方法，遵循主流金融经济学的分析框架，构造规范性理论模型，统一解释了股票收益率序列的异象。

According to the existing related literature , this research relies on the scientific results on Behavioral Finance , exercises heterogeneous beliefs method , follows the analytic framework in traditional Financial Economics , sets up normative theoretical model , explains uniformly that the anomalies of stock returns .

以解释现实金融市场种种异象为目的的行为金融学正逐渐兴起，随着投资者异质信念模型的引入，行为资产定价理论成功地阐述了大量经典资产定价理论所无法解释的市场异象。

Behavioral finance which aims at explaining the various anomalies in the modern financial market is on the rise . With the introduction of heterogeneous beliefs model , behavioral asset pricing theory has successfully described a large number of the market anomalies which traditional asset pricing theory cannot explain .

基于异质性信念的羊群行为CAPM模型修正

Herb Behavior CAPM Model Modification Based on Heterogeneous Belief

本文的建议是在投资过程中，准确分析市场中投资者的异质性信念结构，尤其是资金雄厚的机构投资者的信念结构至关重要。

So it is very important to study the structure of heterogeneous beliefs and especially institutional investors ' beliefs in stock market .

市场渐进信息流、投资者的有限注意和先验异质性是形成投资者异质信念的关键因素；中国证券市场存在显著的盈余公告效应。

Further gradual information flow , limited attention of investors and heterogeneous priors are the key factors of the formation of investors ' heterogeneity of beliefs . There was a significant earnings announcement effect on Chinese securities market .