导　　师： 杨春鹏

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 标准金融学理论市场是有效的,价格能够反映风险资产的全部信息；交易的参与者是理性人,将根据效用最大化原则制定自己的投资决策。但随着行为金融学的兴起与发展,“不完全理性”、“投资者情绪”等诸多与有效市场和理性人假设相悖的理论,正在对标准金融学发起挑战。 在众多行为金融学模型中,由De Long,Shleifer,Summers和Waldmann在1990年提出的DSSW模型是具有代表性的一个,其在实证的基础上,将市场参与者一分为二认为市场均衡价格由两类对市场噪声产生不同反应的交易者共同决定。模型以国外金融市场为基础进行实证检验,而中国的金融市场目前仍处于起步阶段,能否直接借用该模型解释市场中风险资产的定价,是值得思考的问题。 本文以DSSW模型为基础,建立了单向影响和双向影响两类资产定价模型。通过对中国A股市场机构投资者情绪、散户投资者情绪和股价之间的相互影响进行实证检验证明了模型的合理性,并对模型进行了多期扩展。从实证结果来看：沪深两市无论机构投资者还是散户投资者都存在噪声交易的情况；沪市价格泡沫的形成主要源于机构对散户的单向影响,而深市价格泡沫则源于机构与散户的双向影响。本文建立的单向影响资产定价模型与双向影响资产定价模型也能够为后续对DSSW模型的进一步研究提供一些思路。 According to the Standard Financial Theory, market is efficient; price could manifest allinformation about risk asset; traders are rational, and they would make their own investmentdecisions according to the principle of utility maximization. However, with the rise anddevelopment of Behavioral Finance, quite a few theories, such as “Imperfectly Rational”,“Investor Sentiment”, which are inconsistent with efficient market and rational peoplehypothesis, are posing challenges to Standard Financial Theory. Among numerous Behavioral Finance theories, DSSW model proposed by De LongShleifer Summers and Waldmann in1990is one of the typical ones. Based on the empiricalperspective, the model divides market participants into two parts, and supposes thatequilibrium market price is determined by two kinds of traders who respond differently tomarket noise together. The model is empirically tested based on overseas financial market.Since Chinese financial market is still at the beginning stage, it is worth considering thatwhether this model could be directly applied to China market as to explain the pricing of riskasset. Based on DSSW model, this thesis establishes two types of capital asset pricing models,which are one-way influence model and two-way influence model. Those two types of modelsare manifested to be reasonable by empirically analyzing the inter-influence between institutional and retail investors’ sentiment in China’s “A Share”Market, and stock price. The modelsare also conducted multi-phase expansion simulation. As a result of the empirically analyzingthere is noise trading both in institutional and retail investors. Compared those two markets,price bubble due to one-way influence from institutional investors to retail investos in Shanghai results in two-way influence by institutional and retail investors in Shenzhen. Theone-way influence asset pricing model and two-way influence asset pricing model could offersome thoughts for further research on DSSW Model.

关 键 词： 行为金融学 模型 单向影响 双向影响

分 类 号： [F832.5 F224]

领　　域： [经济管理] [经济管理]