【作者】 张鑫；

【导师】 王春峰；

【作者基本信息】 天津大学 ， 金融硕士（专业学位）， 2020， 硕士

【摘要】 经典的资产定价理论均建立在投资者同质预期的假设之上,但在现实世界中,投资者受信息的渐进流动、有限关注与先验异质性等因素影响,对同一资产未来的收益预期有着不同的判断,因此放开同质预期的假设无疑更符合金融市场实际的运行规律。自Miller(1977)首次提出异质信念的理论后,关于异质信念的分析与检验便成为资产定价领域所关注的热点方向之一,与过往研究的侧重点不同,本文基于中国股票市场特殊的投资者分布结构现状,从异质信念角度对个人投资者与机构投资者进行了区分,着重分析了不同类型投资的异质信念对资产定价的影响。本文借鉴换手率分离模型的思想,通过建立模型将换手率中投资者流动性需求、信息冲击与投资者异质信念引起的交易三个部分分离。同时亦参考Boyer(2010)等提取预期特质偏度的方法,以投资者关注与知情交易概率作为个人和机构投资者的行为偏差的代理变量,分别将其代入含有一系列特质因子的Fama-Macbeth横截面回归方程中,从而计算出了两种类型投资者的异质信念。在此基础上,本文分别使用Portfolio Analysis、二维组合分析、时间序列回归分析等方法进一步探讨了在A股市场中个人投资者与机构投资者异质信念对股票横截面收益的解释能力和提供增量信息的能力。具体研究结论如下:首先,在资产定价的视角下,本文检验了投资者异质信念是影响资产定价的重要因子,在中国股票市场中个人投资者与机构投资者的异质信念均呈现出显著的负向定价效应,即当期投资者的意见分歧越严重,当期股价被高估的程度越高,股票下期的收益则越低。其次,从不同类型投资者的异质信念定价能力的角度来看,机构投资者异质信念的负向定价能力较弱,而个人投资者异质信念的负向定价能力更强且更稳定,这一结论也表明在异质信念的视角下,个人投资者是主导A股定价的主要因素。最后,从投资者行为的角度分析,机构投资者的参与会降低总体异质信念的负向定价效应,在一定程度上可以稳定资产的价格。而与之相比,个人投资者多空组合的收益率显著低于机构投资者,这表明个人投资者的投机性较强,更多的是依赖噪音交易,且其交易行为容易受到机构投资者的影响。更多还原

【Abstract】 Classic theory of asset pricing are based on investors’ expectations homogeneity assumption,but in the real world,the investors by the gradual flow of information,limited attention to such factors as the a priori heterogeneity,future earnings estimates for the same assets have different judgment,so let go of homogenous expectations hypothesis is more accord with the actual operation law of financial markets.From Miller(1977),first put forward the theory of heterogeneous beliefs,on the analysis and test of heterogeneous beliefs becomes the direction,one of the hot spot in the field of asset pricing and the emphasis of the past research,this article is based on China’s stock market investors distribution of special structure of the status quo,from the perspective of heterogeneous beliefs to distinguish between individual investors and institutional investors,this paper analyzes the different types of investment of the heterogeneous beliefs influence on asset pricing.This paper USES the idea of the turnover rate separation model for reference and sets up a model to separate the three parts in the turnover rate: investors’ liquidity demand,information shock and trading caused by investors’ heterogeneous beliefs.Also reference Boyer(2010),the methods of extracting expected characteristics of skewness attention by investors and the probability of informed trading as the proxy variable of individual and institutional investors behavior deviation,respectively,the plug contains a series of quality factor Fama-Macbeth cross-section regression equation,which calculates the heterogeneous beliefs of the two types of investors.On this basis,this paper USES Portfolio Analysis,two-dimensional Portfolio Analysis,time series regression Analysis and other methods to further explore the heterogeneous beliefs of individual investors and institutional investors in the A-share market to explain the cross-sectional returns of stocks and provide incremental information.The specific research conclusions are as follows:First of all,under the perspective of asset pricing,this paper tested the investors heterogeneous beliefs is an important factor of affect the asset pricing,individual investors and institutional investors in Chinese stock market’s heterogeneous beliefs all showed significant negative price effects,namely the current investors differences of opinion,the higher the degree of the current share price is overvalued,the next issue of the share price is lower.Second,from the point of view of heterogeneous beliefs pricing power of different types of investors,institutional investors heterogeneous beliefs negative pricing ability is weak,and individual investors heterogeneous beliefs negative pricing power is stronger and more stable,this conclusion also shows that under the perspective of heterogeneous beliefs,individual investors is the main factor leading a-share market pricing.Finally,from the perspective of investor behavior,the participation of institutional investors will reduce the negative pricing effect of heterogeneous beliefs and stabilize asset prices to a certain extent.In contrast,the yield of long-short portfolio of individual investors is significantly lower than that of institutional investors,which indicates that individual investors are more speculative and rely more on noise trading,and their trading behavior is vulnerable to the influence of institutional investors.更多还原