【摘要】 行为金融学从投资者非理性的角度揭示资产泡沫的生成机理,为泡沫理论研究提供了新思路。通过扩展噪声交易者(DSSW)模型,引入噪声交易者过度反应因素,确定由噪声交易者导致的资产非理性泡沫成分,分析认为资产非理性泡沫与噪声交易者的认识偏差和过度反应程度等因素有关,通过模拟分析发现在一定的市场条件下,噪声交易者的比例影响非理性泡沫的大小。更多还原

【Abstract】 Behavioral finance provides some new ideas for the bubble theory by analyzing the formation mechanism of asset bubbles. Based on the extended DSSW model, we introduce the factor of overreaction into our model and describe the irrational bubble caused by noise traders. It is found that the irrational bubbles are related to such factors as misperception and overreaction of noise traders. A simulation analysis suggests that, given certain parameters, the proportion of noise traders affects the size of irrational bubble.更多还原