【摘要】 根据大量实证数据显示股票收益率服从尾部指数为3的情况,构造了特殊的三次价值函数.基于行为金融中的展望理论和处置效应,通过分析价值函数,建立了一个行为资本资产定价模型,并分析了新模型的特点同时将该模型与传统CAPM进行了比较.更多还原

【Abstract】 On the basis of large amounts of empirical data showing that the stock returns rate coincides with the rear exponent of 3,a special cubic cost function is built.Based on the prospect theory and disposition effect,and the analysis of the value function,a behavioral asset-pricing model is presented.The characteristic of the new model is analyzed and at the same time a comparision with the classic CAPM is made.更多还原