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股票市场中投资者的看法差异是否影响定价?将投资者之间由于信息不对称引起的看法差异和对称信息下由于信念异质引起的看法差异,纳入统一的一个理性预期模型,推导出基于信息性风险和异质信念下的风险资产定价模型,对几种不同来源性质的看法差异进行剥离并通过对均衡价格的比较静态分析证明了:由信息不对称造成的看法差异与投资者要求的预期收益率正相关,而由信念异质引起的看法差异与预期收益率负相关.这表明:投资者对逆向选择风险要求额外的风险贴水,而相反会忽视赢者诅咒风险,投资者的看法差异越大越会造成股票价格的高估.
Does the difference in the views of investors in the stock market affect the pricing? The difference between the views caused by asymmetric information caused by asymmetric information of investors and the difference of beliefs caused by the belief heterogeneity under the symmetrical information are integrated into a unified rational expectation model, and the information-based Risk-based and heterogeneous beliefs risk asset pricing model, the disagreement of several different sources of nature of the differences and through comparative static analysis of the equilibrium price proved: the difference caused by the information asymmetry and the expectations of investors The positive correlation between returns and the divergence of beliefs caused by belief heterogeneity is negatively correlated with the expected return, suggesting that investors demand additional risk premiums for adverse selection risks, while neglecting the winner’s curse risk and investor perceptions The bigger the difference, the higher the stock price will be.