基于随机投资者情绪、投资者行为与消费的动态资产定价研究

The study of behavioral finance demonstrates that investor sentiment can affect asset price, but this study is lack of understanding of the impact of stochastic investor sentiment and investor behavior on asset price. We will do research into the economy mechanism of the impact of stochastic investor sentiment on the sentiment investor behavior changes in this project, and research the characteristics of dynamics change of stochastic investor sentiment and the influence mechanism of the sentiment investor behavior changes on asset price. At first, we depict the stochastic investor sentiment by the O-U processes with poisson jump, and research the impact of the characteristics of dynamic change of stochastic investor sentiment on the sentiment investor dynamic adaptive learning behavior, the mutual transformation between rational investors and sentiment investors, and the mutual transformation between optimistic sentiment investors and pessimistic sentiment investors. Then we research the characteristics of dynamic change of the stochastic investor sentiment and the influence mechanism of the relative sentiment investor behavior changes on asset price by constructing the dynamic asset pricing model with consumption and the sentiment investor dynamic adaptive learning behavior, the dynamic asset pricing model with consumption and the mutual transformation between rational investors and sentiment investors, and the dynamic asset pricing model with consumption and the mutual transformation between optimistic sentiment investors and pessimistic sentiment investors. The research target of this project is to perfect the existing behavioral asset pricing theory and methods.

行为金融研究发现投资者情绪会影响资产定价，但对随机投资者情绪和投资者行为影响资产价格形成和资产价格变化的机理还缺乏认识。本课题将对随机投资者情绪影响投资者行为变化的经济机理进行研究，在此基础上研究随机投资者情绪的动态变化特征和相关情绪投资者行为变化对资产定价的影响机理。首先，利用带泊松跳跃的O-U过程刻画随机投资者情绪，并研究随机投资者情绪动态变化对情绪投资者动态适应性学习行为、对理性套利者与情绪投资者相互转化行为和对乐观情绪与悲观情绪投资者相互转化行为的影响机理。其次，通过构建情绪投资者动态适应性学习行为与消费的动态资产定价模型、理性套利者和情绪投资者相互转化行为与消费的动态资产定价模型、乐观情绪和悲观情绪投资者相互转化行为与消费的动态资产定价模型研究随机投资者情绪动态变化和情绪投资者行为变化对资产价格形成和资产价格动态变化的影响机理。本课题的研究目标是完善已有行为资产定价的理论与方法。

金融市场中的投资者并非完全理性人，投资者情绪与投资者行为对资产价格的形成及其变化路径起着重要作用。本项目的主要研究内容分为如下四个方面。首先，实证研究了投资者情绪的期限结构和混频情绪对金融资产价格形成的影响；第二，实证研究了投资者行为和投资者情绪对金融资产价格形成的共同影响；第三，实证研究了投资者拥挤交易行为对金融资产价格的风险与收益关系的影响；第四，构建了含有随机投资者情绪的股票资产定价模型和含有投资者情绪的期权定价模型。本项目重要的结果主要有三点：首先，实证发现了我国股票市场中投资者情绪和投资者行为对股票价格形成影响的系统性与重要性；其次，实证研究发现了投资者的拥挤交易行为对金融资产风险与收益关系影响的系统性与重要性；第三，通过构建理论模型研究发现了投资者情绪对金融资产价格形成的影响机理。本项目的研究结果从实证研究和理论模型构建两个方面丰富了行为资产定价理论，期望对相关的政府监管部门和相关的实物投资部门有一定的参考价值。