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本文构建了一个可以拓展至无限类别的异质投资者模型,我们发现,在投资者具有强异质性的条件下,资产价格的异常波动性并不是不同类别投资者情绪波动的简单加总,起关键作用的是投资者之间的异质信念。有效市场假说中噪音交易者行为相互抵消的过程确实在发生,但这一抵消过程并不一定是完全的。在投资者具有强异质性条件下,投资者情绪在加总后对资产价格的影响反而更加稳定。投资者参与是异质信念影响波动性的重要条件,随着投资者参与程度的提高,异质信念对波动性的影响愈加显著。上述结论得到了本文实证结果的支持。
This paper constructs a heterogeneous investor model that can be extended to an infinite category. We find that under the condition of investors’ heterogeneity, the abnormal volatility of asset prices is not a simple summation of the mood swings of different types of investors. A key role is the heterogeneous belief among investors. The process of counteracting the noise traders in the efficient market hypothesis does happen, but the offsetting process is not necessarily complete. Under the conditions of strong heterogeneity of investors, the influence of investor sentiment on asset prices after the summation is even more stable. The participation of investors is an important condition that heterogeneous beliefs affect the volatility. With the increase of investor participation, the influence of heterogeneous beliefs on volatility becomes more and more significant. The above conclusion is supported by the empirical results in this paper.