BSV、DHS等模型中资产定价与模糊不确定性下资产定价在逻辑结构上的一致性

doi:10.16381/j.cnki.issn1003-207x.2017.06.003

摘要/Abstract

摘要： 虽然BSV、DHS等行为金融模型对动量效应的微观机制进行了研究，但这些行为理论模型存在着投资者行为逻辑假设的非一致性问题。首先，本文以模糊不确定性下建立起的资产定价模型为参照物，将BSV、DHS等理论模型中的资产定价与模糊不确定性下资产定价进行了对比研究发现，这些行为金融资产定价都与模糊不确定性下资产定价具有数学结构上的一致性。其次，根据行为决策学、心理学与神经科学等最新理论的成果表明，BSV、DHS等行为金融模型中的投资者行为模式也可从模糊不确定性的概念框架下得到解释。通过以上两方面的探讨，可以看出BSV、DHS等理论模型中的资产定价与模糊不确定性下资产定价具有逻辑结构上的一致性，可将BSV、DHS等行为金融模型中的资产定价置于一个更为基础的统一逻辑框架，试图解决行为金融模型中投资者行为逻辑假设的非一致性问题。

关键词: 反应不足, 反应过度, 行为金融模型, 奈特不确定性, 模糊不确定性, 资产定价

Abstract: Although the behavioral financial models, such as BSV and DHS, can explain the microscopic mechanism of momentum effect in stock market, there exists the non-consistency of investors' behavior assumptions. Firstly, as a reference from the asset pricing under ambiguity, a comparative study between the asset pricing in BSV, DHS model with the asset pricing under ambiguity is made, and it is found that they have a consistent mathematical structure. Secondly, according to the latest theories of decision-making, psychology and neuroscience, these assumptions of investor's behavior in BSV, DHS model can explain in a view of ambiguity reasonablely. Through the above two aspects, it shows that there is consistency of logical structure about asset pricing in BSV, DHS model and asset pricing under ambiguity. The asset pricing in BSV, DHS model can be regarded as different aspects of asset pricing under ambiguity and may be placed on a fundamental logic framework under ambiguity. The non-consistency of investors' behavior assumptions in these behavioral finance models can be solved to a degree.

Key words: underreaction, overreaction, behavioral finance model, Knightian uncertainty, ambiguity, asset pricing

中图分类号:

F224
F830

徐元栋. BSV、DHS等模型中资产定价与模糊不确定性下资产定价在逻辑结构上的一致性[J]. 中国管理科学, 2017, 25(6): 22-31.

XU Yuan-dong. The Consistency of Logical Structure about Asset Pricing in BSV, DHS model and Asset Pricing under Ambiguity[J]. Chinese Journal of Management Science, 2017, 25(6): 22-31.

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