The Theoretical And Empirical Researches Of Asset Pricing Under Heterogeneous Beliefs

Under uncertainty, investors are confronted with the changes of asset pricing's movement patterns and trajectory. It is the one of targets of financial economicist to understand how to price risk assets. Traditional Sharpe-Lintner-Mossin capital asset pricing model (CAPM) is one of the landmarks in the financial history. Because it is perfect and simple as so as easy to empirical testing, and so on, the CAPM is followed by many scholars.However, a growing number of empirical studies have shown that the traditional CAPM is difficult to explain asset's cross-section return changes.Therefore, the traditional CAPM is questioned that its established strict assumptions, especially, the assumption of investors homogeneity is far form reality, so it is suffered criticism of scholars.Relaxing the assumption of homogenous investors, this dissertation studies risky assets pricing under investors with heterogeneous beliefs. The dissertation first defines the basic concept of "heterogeneous beliefs," it shows heterogeneous beliefs is that different investors in the same stock holding period, the estimations of the conditions expected return rate and variance-covariance matrix of risky asset return is different; then, this dissertation explores three different mechanism of heterogeneity of investor beliefs: asymptotic values flow, limited attention, and a priori heterogeneity. Heterogeneous beliefs of investors are more subjective form, therefore, how to better measure heterogeneity of beliefs is an element of this study.The dissertation is on the basis of the existing excellent researchs, under the assumption of investor heterogenous beliefs it presents the static capital asset pricing model and zero-βcapitcal asset pricing model by the introduction of "consistency belief' under the framing of mean-variance analysis method. This dissertation finds that zero-βCAPM under heterogenous beliefs, as same as the traditonal CAPM, expected return of assets is a linear function of its risk; also, it confirms that investors belief (expected return) of risky asset positively correlated with the equilibrium price. At the same time, the dissertation also examined the evolution of heterogeneous beliefs that may exist in the context of dynamic asset pricing model under the heterogeneous agent model(HAM). In the model of dynamic asset pricing, the dissertation derives the conditions of existence and stability of equilibrium in the system needed to meet, moreover, it shows the issue of system stability by simple numerical simulation.In the existing literatures, it is relatively little expirical study about the effects of heterogeneous beliefs on asset pricing. The dissertation studies two well-known anomalies: earnings mometum and momentum effect in the Chinese A-share market. This empirical study shows that the earnings mometum exists when unexpected earning is nagative, however, if unexpected earning is positive, the earnings monetum doesn't exist. Then, the dissertation defined the proxy variable of heterogeneous beliefs as the average ratio between the standard deviation of analyst forecasts of earnings and the absolute value of the mean of the forecasts, it shows heterogeneous beliefs can explain partly earnings momentum. The research shows that momentum effect exists in the short time in the ChineseA-share market. It exploits detrend turnover as proxy variable of heterogeneous belief, finds heterogeneous belief positive correlation with momentum effect when formation and holding period is respectively one month. The more divergence of invests'belief, the return of momentum strategy is higher. Finally, according to the conclusion of this paper, the dissertation brings forwardsome suggestion to cultivate a well-functioning financial market in order to guarantee the healthy growth of China stock market. Meanwhile, the dissertation points out what is the inadequacy of the study, what needs to further deepen in the future.