北京航空航天大学学报(社会科学版) ›› 2018, Vol. 31 ›› Issue (1): 70-74.DOI: 10.13766/j.bhsk.1008-2204.2016.0093

• 经济与管理 • 上一篇    下一篇

投资者过度自信与资产定价的关系——基于社交网络环境下

金华, 胡明浩   

  1. 北京航空航天大学 经济管理学院, 北京 100083
  • 收稿日期:2016-03-21 出版日期:2018-01-25 发布日期:2018-01-31
  • 作者简介:金华(1976-),女,吉林人,讲师,博士,研究方向为公司金融.
  • 基金资助:

    国家自然科学基金资助项目(71371023)

Overconfidence and Asset Pricing: Based on Social Networks

JIN Hua, HU Minghao   

  1. School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China
  • Received:2016-03-21 Online:2018-01-25 Published:2018-01-31

摘要:

金融市场中投资者基于获得的信息进行决策,其信息异质性和对待信息的态度差异性,均会影响投资者的行为,进而影响资产的定价。社交网络是投资者获取外部信息的重要渠道,投资者的过度自信程度影响投资者对待信息的态度,两者对于资产定价过程显然存在影响。建立的经济模型考虑了理性投资者和过度自信投资者,他们可以通过社交网络获取信息,在理性预期和金融市场微观结构理论框架下,研究了社交网络环境下投资者过度自信对资产定价的影响。通过建立信息博弈模型,发现市场存在理性预期均衡,且均衡状态下市场有效性、资本成本、流动性等要素与投资者的类型、社交网络均存在联系。

关键词: 资本资产定价, 过度自信, 社交网络, 投资者, 金融市场

Abstract:

In financial market, investors make decisions with the information available. Information heterogeneity and difference in attitudes towards information have a great effect on investors' behavior, and further influence asset pricing. Social network is an important channel for investors to acquire external information, and overconfidence is one impact factor on investors' attitude toward information, both of which affect the asset prices. This paper presents an economic model in which rational traders and overconfident traders have access to information from social network Based on the framework of rational expectation equilibrium and market microstructure, and explore the effect of overconfidence on asset prices. We found that there exists rational expectation equilibrium based on the model the authors build, and derive some significant implications in discussing market factors, such as market efficiency, capital cost and liquidity.

Key words: capital asset pricing, overconfidence, social network, investor, financial market

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