过度自信与资产定价研究
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摘要
资产定价是金融学研究的核心问题。现有的定价模型可以分为价值学派和市场学派两类。价值学派提出多种价值评估模型,其中最有名的就是William提出的股利贴现模型(DDM模型),推出了以股利贴现来确认股票内在投资价值的最一般的表达式。市场学派的定价模型以CAPM和APT以及BS公式等为代表。但是以上定价模型都是在EMH的框架之下的,假设人是完全理性的,随着研究的进展,市场上出现了众多定价模型无法解释的市场异象,在理论界也开始了反思,其中最具冲击力的是行为金融理论。行为金融模型有两大支柱:套利的有限性和投资者的心理。本文将在行为金融的框架下,选择了投资者最常见的过度自信的投资心理来构建定价模型,对金融市场的资产定价进行深入的研究。
本文主要研究成果和创新性结论如下:
1、基于最一般的效用函数,建立了基于过度自信的风险溢价模型,研究了过度自信与风险溢价的关系。过度自信的程度会影响风险溢价的大小,从而会影响到资产的价格。
2、建立了基于股利贴现的股票动态定价模型并进行了仿真分析,探讨了基于过度自信的价值学派的定价模型,包括基于过度自信的绝对价值模型和基于过度自信的相对价值模型。
3、论文研究了基于投资心理的认知风险的度量。首先,推导出了基于过度自信心理的认知方差;其次,研究了投资心理与基于信息熵的认知风险;最后,研究了基准收益与认知风险熵式度量的关系。
4、分析了基于过度自信的资产组合的选择和CAPM模型。推导出了基于过度自信的有效前沿,研究了过度自信与考虑无风险利率情况下的资产配置。推导出了认知资本市场线和认知证券市场线。
5、分析了过度自信心理对于期权定价模型的影响。首先,建立了基于过度自信的二叉树定价模型;其次,建立了基于过度自信的BS期权定价模型;最后,建立了基于过度自信的实物期权定价模型。
Asset pricing is the most important subject in finance. The current asset pricing models can be classfied into two categories. The first one is Valuation models based on the so called intrinsic value. In the first category, the most famous model is dividend discount model which is given by William. The second one is represented by CAPM, APT and BS formula. But all these pricing models are under the framework of EMH, suppose the human beings are fully rational. With the progress of the research, many market anomalies which can't be explained by the EMH theory are found. Then, researchers begin to reflect on the EMH theory, and propose the most influential theory, behavioral finance. The field has two building blocks: limits to arbitrage and psychology, which catalogues the kinds of deviations from full rationality we might expect to see. Based on behavioral finance theories, this thesis select the overconfidence psychology to establish asset pricing models, and deeply researches asset pricing. Main achievements and results of this thesis are as follows:
1. Based on the general utility function, an irrational risk premium model is established. A model of market risk premium through the interaction of rational investors and irrational investors is constructed. The bias problem of irrational risk premium relative to the rational risk premium and the market risk premium is studied. Conclusion is that the degree of the bias of the irrational risk premium relative to the market risk premium depends on the value weighting of the irrational investors.
2. Based on the dividend discount model, a dynamic pricing model is built, which uses the idea of real business cycle model. Under the stochastic technology shock and the tax rate change, the dynamic prices are studied. Some valuation models based on the overconfidence are established, which includes intrinsic model and relative pricing model.
3. The measurements of perceived risk based overconfidence psychology are studied. At first, perceived variance is presented; second, using the perceived risk based on Shannon's entropy, a rational perceived risk measuring model and an overconfidence perceived risk measuring model are presented; third, based on the benchmark return, a perceive risk measuring model is presented. The relation between benchmark return and perceived risk is studied. Results show that the correlation between the benchmark return and perceived risk is positive.
4. Asset portfolio theory and CAPM based on overconfidence are presented. The perceived efficient frontier is proved, and asset allocation regarding risk free interest based overconfidence is studied. The perceived CML and SML are built.
5. The impact of overconfidence on the price of option is also studied. First, a bintree pricing model based on overconfidence is established; second, a BS option pricing model based on overconfidence is presented; third, some real option models based on overconfidence are calculated.
本文主要研究成果和创新性结论如下:
1、基于最一般的效用函数,建立了基于过度自信的风险溢价模型,研究了过度自信与风险溢价的关系。过度自信的程度会影响风险溢价的大小,从而会影响到资产的价格。
2、建立了基于股利贴现的股票动态定价模型并进行了仿真分析,探讨了基于过度自信的价值学派的定价模型,包括基于过度自信的绝对价值模型和基于过度自信的相对价值模型。
3、论文研究了基于投资心理的认知风险的度量。首先,推导出了基于过度自信心理的认知方差;其次,研究了投资心理与基于信息熵的认知风险;最后,研究了基准收益与认知风险熵式度量的关系。
4、分析了基于过度自信的资产组合的选择和CAPM模型。推导出了基于过度自信的有效前沿,研究了过度自信与考虑无风险利率情况下的资产配置。推导出了认知资本市场线和认知证券市场线。
5、分析了过度自信心理对于期权定价模型的影响。首先,建立了基于过度自信的二叉树定价模型;其次,建立了基于过度自信的BS期权定价模型;最后,建立了基于过度自信的实物期权定价模型。
Asset pricing is the most important subject in finance. The current asset pricing models can be classfied into two categories. The first one is Valuation models based on the so called intrinsic value. In the first category, the most famous model is dividend discount model which is given by William. The second one is represented by CAPM, APT and BS formula. But all these pricing models are under the framework of EMH, suppose the human beings are fully rational. With the progress of the research, many market anomalies which can't be explained by the EMH theory are found. Then, researchers begin to reflect on the EMH theory, and propose the most influential theory, behavioral finance. The field has two building blocks: limits to arbitrage and psychology, which catalogues the kinds of deviations from full rationality we might expect to see. Based on behavioral finance theories, this thesis select the overconfidence psychology to establish asset pricing models, and deeply researches asset pricing. Main achievements and results of this thesis are as follows:
1. Based on the general utility function, an irrational risk premium model is established. A model of market risk premium through the interaction of rational investors and irrational investors is constructed. The bias problem of irrational risk premium relative to the rational risk premium and the market risk premium is studied. Conclusion is that the degree of the bias of the irrational risk premium relative to the market risk premium depends on the value weighting of the irrational investors.
2. Based on the dividend discount model, a dynamic pricing model is built, which uses the idea of real business cycle model. Under the stochastic technology shock and the tax rate change, the dynamic prices are studied. Some valuation models based on the overconfidence are established, which includes intrinsic model and relative pricing model.
3. The measurements of perceived risk based overconfidence psychology are studied. At first, perceived variance is presented; second, using the perceived risk based on Shannon's entropy, a rational perceived risk measuring model and an overconfidence perceived risk measuring model are presented; third, based on the benchmark return, a perceive risk measuring model is presented. The relation between benchmark return and perceived risk is studied. Results show that the correlation between the benchmark return and perceived risk is positive.
4. Asset portfolio theory and CAPM based on overconfidence are presented. The perceived efficient frontier is proved, and asset allocation regarding risk free interest based overconfidence is studied. The perceived CML and SML are built.
5. The impact of overconfidence on the price of option is also studied. First, a bintree pricing model based on overconfidence is established; second, a BS option pricing model based on overconfidence is presented; third, some real option models based on overconfidence are calculated.
引文
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