投资者异质信念对资源配置效率的影响研究
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摘要
证券市场的重要功能之一是配置资源,那么如何配置好资源,建立一个稳定发展、秩序井然的资源配置优化机制,是亟待解决的重要问题。正如拉克.弗兰西斯所说,“一个有效率的资本市场会迅速而准确地把资本导向收益最高的企业”。投资者异质信念直接决定投资者行为的理性和非理性,它与价值成长性相关,对市场资源配置起到一定作用。然而,长期以来,投资者异质信念虽然客观存在,但却没有被认识或没有对它深度考虑,而忽视了它对证券市场的作用。因此,本文从这个角度进行研究,具有较强的研究现实意义。
和同质信念相比,异质信念更符合我国证券市场现实。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。对于个人和机构投资者来说,在不考虑交易成本的情况下了解投资者异质信念,可以有效地获利或者避免一定损失：对于监管部门来说,了解投资者异质信念,可以改进市场交易质量,抑制股票市场的过度波动,促进市场资源配置效率
本文研究探讨的问题是投资者异质信念对资源配置效率的影响,并从价值成长性的差异分析其影响有何不同,然后进行资源配置效率的优化模型设计。全文共分七章：第一章是绪论,介绍了本文选题的理论意义和研究的实践意义,并说明研究思路,阐述研究内容和研究方法。第二章是文献述评,主要是对本文所研究的主要变量进行了概念界定,然后阐述和总结了相关研究理论,并在概念和理论的基础上分析了投资者异质信念已有的研究现状,再此引出本文研究角度的意义。第三章是投资者异质信念测度研究,本章从现有文献中对异质性信念的代理指标进行归纳和评述,分析各代理变量的合理性和优劣,并构建投资者异质信念的复合测度指标,为异质性信念的进一步实证研究提供参考。第四章研究投资者异质信念对资源配置效率的影响,实证数据将直接应用本章构建的HETE复合测度指标进行分析研究,建立了投资者异质信念与资源配置效率的倒U型关系模型,提出投资者异质信念对配置效率具有“强化效应”和“弱化效应”的两面性的作用。第五章通过价值成长性样本分组再验证了投资者异质信念对资源配置效率的倒U型关系,研究表明,高价值成长性样本的倒U型关系更显著,而在价值成长性低的公司表现并不著。第六章构建基于异质信念的资源配置效率优化模型,希望资源配置效率尽可能大,而且使得异质信念风险尽可能小,然后按照成长性高低配比资源权重。第七章是研究结论与展望,这一章最后总结分析了全文的研究结论和主要创新点,并在此基础上提出后续研究展望。
本文研究取得了以下研究结论：
1.构建了投资者异质信念的复合测度指标。本文从现有文献中对异质性信念的代理指标进行归纳和评述,分析各代理变量的合理性和优劣,并构建投资者异质信念的复合测度指标,为异质性信念的进一步实证研究提供参考。
2.建立了投资者异质信念与资源配置效率的倒U型关系模型。本文以构建的投资者异质信念的复合测度指标作为解释变量,建立了投资者异质信念与资源配置效率的倒U型关系模型,验证了投资者异质信念对资源配置效率的影响作用。根据这个关系模型,可以看出投资者异质信念对配置效率的“强化效应”和“弱化效应”的两面性作用。稳健性检验通过替换异质信念代理变量的方式,即用共同基金持有幅度、调整年换手率等单一指标的显著相关性,再验证了倒U型的关系模型。本文建立了投资者异质信念与资源配置效率的倒U型关系模型,为证券市场调节资源配置,有效利用投资者异质信念的作用提供了依据。
3.建立了具有成长性差异的投资者异质信念对资源配置效率的倒U型关系模型。本文通过价值成长性样本分组再验证了投资者异质信念对资源配置效率的倒U型关系,研究表明,高价值成长性样本的倒U型关系更显著。这也说明投资者更愿意投资于价值成长性高的公司,他们的异质信念更容易在这样的公司发挥出对配置效率的影响作用；而在价值成长性低的公司,其作用表现趋缓。这一研究结果符合资金流向与资源配置优化方向的一致性,并为有效利用投资者异质信念对证券市场的作用提供了依据。
4.建立了基于异质信念的资源配置效率优化模刑。本文研究证券市场的资源配置效率,选取了投资者异质信念的角度,并考虑成长性差异的影响,在前述建立的二者倒U型关系的基础上,构建了基于异质信念的资源配置效率优化模型。研究基于线性规划的方法,从异质信念定价理论的风险溢价角度,将异质信念视为异质信念风险,按照理性人假设的收益或效率与风险权衡的原则,以配置效率作为目标函数,建立基于异质信念的资源配置效率优化模型。本文构建的基于异质信念的考虑成长性差异的资源配置效率优化模型,为此类研究提供了一个较为实用的量化决策的模型方法。无论足从整体证券市场,或从区域公司配置,都可以应用这一模型进行优化,使得资源配置效率达到最优状态,为证券市场监管和实现其自身资源配置功能提出建议。
One of the important function of the securities market is the allocation of resources. How to configure good resources and to establish a stable, well-ordered resource allocation efficiency optimization mechanism, is an important problem. As Francis said,"An efficient capital market can quickly and accurately guide capital to the highest revenue enterprise" Investors heterogeneous belief determines the rational and irrational investors behavior directly. It relates to growth of value and market allocation of resources. Therefore, the content of this dissertation has a strong meaning on research practice from this view.
Comparing with homogeneity, heterogeneous belief is more suitable to the securities market reality in our country. 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. For individual and institutional investors, to understand the condition of heterogeneous belief, can effectively avoid a certain profit or loss. For the supervision department, to understand investors heterogeneous belief, it can improve the quality of market transactions, inhibit excessive volatility of the stock market, and promote the market resource allocation efficiency.
This dissertation studies the influence of investors heterogeneous belief on the resource allocation efficiency and the difference of growth's influence on it, then to design the efficiency of resource allocation optimization model. The full text is divided into seven chapters. The first chapter is the introduction, introducing the theory significance and the practical significance of the research, explaining the research train of thought, expounding the content and research method. The second chapter is the literature review. This chapter is mainly to the main variable on the concept definition, then explains and summarizes the related research theory. And the concept and theory is analyzed on the basis of the investors heterogeneous belief of the existing research situation. The third chapter is investors heterogeneous belief measuring research. This chapter summarizes from the existing literature on heterogeneous beliefs agent indexes, and analyzes the rationality of the proxy variable and the advantages and disadvantages, and constructs the multiple index of investors heterogeneous belief. The fourth chapter researches the influence of investors heterogeneous belief on resource allocation efficiency. It establishes a reversing-U curve model of investors heterogeneous beliefs and resource allocation efficiency. The fifth chapter verifies the reversing-U curve relationship between investors heterogeneous belief and resource allocation efficiency by growth difference perspective. The sixth chapter sets up a resources allocation efficiency optimization model based on heterogeneous belief. The seventh chapter is the conclusion.
This paper draws the following research conclusion:
1.Constructing the investors heterogeneous belief of composite measure index. This chapter from in the existing literature on heterogeneous beliefs agent indexes of induction and evaluated in this paper, and analyzes the rationality of the proxy variable, and constructs the investors heterogeneous belief of composite measure index.
2.Establishing the reversing-U curve model of investors heterogeneous beliefs and resource allocation efficiency. This dissertation introduces the investor's heterogeneous belief, analysis is influence on the efficiency of the allocation of resources. The investor's heterogeneous beliefs does not only bring negative effect of the allocation of resources. This dissertation sets up the establishment of investors heterogeneous beliefs and resources allocation efficiency between the nonlinear model, the establishment of a investors heterogeneous beliefs and resource allocation efficiency of the reversing-U curve relation model.
3.Establishing the reversing-U curve model of investors heterogeneous beliefs and resource allocation efficiency on the view of growth differences. This dissertation verify the investors heterogeneous belief of resource allocation efficiency of the reversing-U curve relationship through the value growth sample group. The research shows that high value growth sample reversing-U curve relationship. Investors heterogeneous belief of resource allocation efficiency of the inverted U type relation model, in the value of the high growth of the firm performance is very significant, and in value growth low company performance is not significant. This makes the reversing-U curve relations in the high value growth companies more easy to play its role to the allocation efficiency.
4.Establishing based on heterogeneous belief resources allocation efficiency optimization model. The dissertation constructs resources allocation efficiency optimization model based on heterogeneous belief. Considering when securities market resource allocation efficiency to achieve optimal state, it hope that the allocation of resources efficiency as far as possible good, and makes the heterogeneous beliefs as low as possible. Then according to the ratio of high and low growth resources weight, it optimizes the allocation of resources and enhances the efficiency of allocation.
和同质信念相比,异质信念更符合我国证券市场现实。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。对于个人和机构投资者来说,在不考虑交易成本的情况下了解投资者异质信念,可以有效地获利或者避免一定损失：对于监管部门来说,了解投资者异质信念,可以改进市场交易质量,抑制股票市场的过度波动,促进市场资源配置效率
本文研究探讨的问题是投资者异质信念对资源配置效率的影响,并从价值成长性的差异分析其影响有何不同,然后进行资源配置效率的优化模型设计。全文共分七章：第一章是绪论,介绍了本文选题的理论意义和研究的实践意义,并说明研究思路,阐述研究内容和研究方法。第二章是文献述评,主要是对本文所研究的主要变量进行了概念界定,然后阐述和总结了相关研究理论,并在概念和理论的基础上分析了投资者异质信念已有的研究现状,再此引出本文研究角度的意义。第三章是投资者异质信念测度研究,本章从现有文献中对异质性信念的代理指标进行归纳和评述,分析各代理变量的合理性和优劣,并构建投资者异质信念的复合测度指标,为异质性信念的进一步实证研究提供参考。第四章研究投资者异质信念对资源配置效率的影响,实证数据将直接应用本章构建的HETE复合测度指标进行分析研究,建立了投资者异质信念与资源配置效率的倒U型关系模型,提出投资者异质信念对配置效率具有“强化效应”和“弱化效应”的两面性的作用。第五章通过价值成长性样本分组再验证了投资者异质信念对资源配置效率的倒U型关系,研究表明,高价值成长性样本的倒U型关系更显著,而在价值成长性低的公司表现并不著。第六章构建基于异质信念的资源配置效率优化模型,希望资源配置效率尽可能大,而且使得异质信念风险尽可能小,然后按照成长性高低配比资源权重。第七章是研究结论与展望,这一章最后总结分析了全文的研究结论和主要创新点,并在此基础上提出后续研究展望。
本文研究取得了以下研究结论：
1.构建了投资者异质信念的复合测度指标。本文从现有文献中对异质性信念的代理指标进行归纳和评述,分析各代理变量的合理性和优劣,并构建投资者异质信念的复合测度指标,为异质性信念的进一步实证研究提供参考。
2.建立了投资者异质信念与资源配置效率的倒U型关系模型。本文以构建的投资者异质信念的复合测度指标作为解释变量,建立了投资者异质信念与资源配置效率的倒U型关系模型,验证了投资者异质信念对资源配置效率的影响作用。根据这个关系模型,可以看出投资者异质信念对配置效率的“强化效应”和“弱化效应”的两面性作用。稳健性检验通过替换异质信念代理变量的方式,即用共同基金持有幅度、调整年换手率等单一指标的显著相关性,再验证了倒U型的关系模型。本文建立了投资者异质信念与资源配置效率的倒U型关系模型,为证券市场调节资源配置,有效利用投资者异质信念的作用提供了依据。
3.建立了具有成长性差异的投资者异质信念对资源配置效率的倒U型关系模型。本文通过价值成长性样本分组再验证了投资者异质信念对资源配置效率的倒U型关系,研究表明,高价值成长性样本的倒U型关系更显著。这也说明投资者更愿意投资于价值成长性高的公司,他们的异质信念更容易在这样的公司发挥出对配置效率的影响作用；而在价值成长性低的公司,其作用表现趋缓。这一研究结果符合资金流向与资源配置优化方向的一致性,并为有效利用投资者异质信念对证券市场的作用提供了依据。
4.建立了基于异质信念的资源配置效率优化模刑。本文研究证券市场的资源配置效率,选取了投资者异质信念的角度,并考虑成长性差异的影响,在前述建立的二者倒U型关系的基础上,构建了基于异质信念的资源配置效率优化模型。研究基于线性规划的方法,从异质信念定价理论的风险溢价角度,将异质信念视为异质信念风险,按照理性人假设的收益或效率与风险权衡的原则,以配置效率作为目标函数,建立基于异质信念的资源配置效率优化模型。本文构建的基于异质信念的考虑成长性差异的资源配置效率优化模型,为此类研究提供了一个较为实用的量化决策的模型方法。无论足从整体证券市场,或从区域公司配置,都可以应用这一模型进行优化,使得资源配置效率达到最优状态,为证券市场监管和实现其自身资源配置功能提出建议。
One of the important function of the securities market is the allocation of resources. How to configure good resources and to establish a stable, well-ordered resource allocation efficiency optimization mechanism, is an important problem. As Francis said,"An efficient capital market can quickly and accurately guide capital to the highest revenue enterprise" Investors heterogeneous belief determines the rational and irrational investors behavior directly. It relates to growth of value and market allocation of resources. Therefore, the content of this dissertation has a strong meaning on research practice from this view.
Comparing with homogeneity, heterogeneous belief is more suitable to the securities market reality in our country. 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. For individual and institutional investors, to understand the condition of heterogeneous belief, can effectively avoid a certain profit or loss. For the supervision department, to understand investors heterogeneous belief, it can improve the quality of market transactions, inhibit excessive volatility of the stock market, and promote the market resource allocation efficiency.
This dissertation studies the influence of investors heterogeneous belief on the resource allocation efficiency and the difference of growth's influence on it, then to design the efficiency of resource allocation optimization model. The full text is divided into seven chapters. The first chapter is the introduction, introducing the theory significance and the practical significance of the research, explaining the research train of thought, expounding the content and research method. The second chapter is the literature review. This chapter is mainly to the main variable on the concept definition, then explains and summarizes the related research theory. And the concept and theory is analyzed on the basis of the investors heterogeneous belief of the existing research situation. The third chapter is investors heterogeneous belief measuring research. This chapter summarizes from the existing literature on heterogeneous beliefs agent indexes, and analyzes the rationality of the proxy variable and the advantages and disadvantages, and constructs the multiple index of investors heterogeneous belief. The fourth chapter researches the influence of investors heterogeneous belief on resource allocation efficiency. It establishes a reversing-U curve model of investors heterogeneous beliefs and resource allocation efficiency. The fifth chapter verifies the reversing-U curve relationship between investors heterogeneous belief and resource allocation efficiency by growth difference perspective. The sixth chapter sets up a resources allocation efficiency optimization model based on heterogeneous belief. The seventh chapter is the conclusion.
This paper draws the following research conclusion:
1.Constructing the investors heterogeneous belief of composite measure index. This chapter from in the existing literature on heterogeneous beliefs agent indexes of induction and evaluated in this paper, and analyzes the rationality of the proxy variable, and constructs the investors heterogeneous belief of composite measure index.
2.Establishing the reversing-U curve model of investors heterogeneous beliefs and resource allocation efficiency. This dissertation introduces the investor's heterogeneous belief, analysis is influence on the efficiency of the allocation of resources. The investor's heterogeneous beliefs does not only bring negative effect of the allocation of resources. This dissertation sets up the establishment of investors heterogeneous beliefs and resources allocation efficiency between the nonlinear model, the establishment of a investors heterogeneous beliefs and resource allocation efficiency of the reversing-U curve relation model.
3.Establishing the reversing-U curve model of investors heterogeneous beliefs and resource allocation efficiency on the view of growth differences. This dissertation verify the investors heterogeneous belief of resource allocation efficiency of the reversing-U curve relationship through the value growth sample group. The research shows that high value growth sample reversing-U curve relationship. Investors heterogeneous belief of resource allocation efficiency of the inverted U type relation model, in the value of the high growth of the firm performance is very significant, and in value growth low company performance is not significant. This makes the reversing-U curve relations in the high value growth companies more easy to play its role to the allocation efficiency.
4.Establishing based on heterogeneous belief resources allocation efficiency optimization model. The dissertation constructs resources allocation efficiency optimization model based on heterogeneous belief. Considering when securities market resource allocation efficiency to achieve optimal state, it hope that the allocation of resources efficiency as far as possible good, and makes the heterogeneous beliefs as low as possible. Then according to the ratio of high and low growth resources weight, it optimizes the allocation of resources and enhances the efficiency of allocation.
引文
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