An Theoretical And Empirical Study On Asset Pricing Based On Heterogeneous Belifs

In the Mid 70's of the 20th century,the standard financial theory which is based on efficient market hypothesis, capital and assets pricing theory and modern portfolio theory has developed sophisticated. It has a more complete theoretical framework, and established its presence in the area of financial and economic status. Standard financial sector could explain a lot of economic phenomena, but more and more from many areas of empirical evidence, let people start cast doubt on the theory. Scholars reconstruct and perfect the standard financial theory through loosing the suppose condition. Taking note of the investors'homogeneous beliefs are one of standard finance theory key suppositions, Miller proposed, the stock price will overestimate under the investor heterogeneous beliefs and short-sale constraint, because the stock price has only reflected the optimistic investor's beliefs, as a result of the constrain of short sale, the pessimistic investor is repelled the market. However because of the complexity of the model and insufficient of data, the achievement which is based on the heterogeneous beliefs theory and empirical study in the 20th century is not rich. Although after 2000, the heterogeneity beliefs are developing rapidly, most of the results of theoretical research can not be using in the actual financial market. And most empirical results does not support by model. Scholars have largely concern about the Heterogeneous Prior Beliefs on the impact of asset pricing, where there is little research will deal with information access and belief as a source of heterogeneity to study the issue of asset pricing. Taking this into consideration, this article conducts the research to Heterogeneous Beliefs capital and assets pricing domain's several key questions, tries hard to obtain in some theories and real diagnosis breakthrough.This study includes three parts as following:①Asset pricing under investors'heterogeneous beliefs and short-sale constraints. This part derived directly from Miller's study in 1977. However, my study is different from other study which modeled Miller's opinion directly because this thesis focused on posterior heterogeneous beliefs'impact on asset pricing which derived from non-rational investors'over-confidence. Based on appropriate assumptions, this thesis established an asset pricing model on the condition of endogenous posterior heterogeneous, and then I analyzed the relationship between heterogeneous beliefs and signal, short-sale constraints and asset misvaluation, and finally, carried out an empirical testing of the model's deduction based on appropriate samples from China stock market.②Heterogeneous beliefs asset pricing model based on partial reveal. In existing heterogeneous beliefs asset pricing literatures, few take information into account, one of the several articles, established the model on the condition of fully reveal. This thesis established a priori heterogeneous beliefs asset pricing model on the condition of partial reveal, and then carried out a numerical simulation analysis to point out model's parameters'impact on asset pricing. Finally, in accordance with the conclusions of the model, I selected relevant data in A-share and B-share to provide an explanation of B-share discount.③A study on the evolution of investors'heterogeneous beliefs. The existence of investors'heterogeneous beliefs has become an indisputable fact, but whether investors'heterogeneous beliefs would form a market consensus belief in certain circumstances or would be sustained long-term? This problem also attracted researcher's attention. Based on evolutionary game theory, this thesis established replicator dynamic equation of investors'heterogeneous beliefs, and analyzed the evolution of investor's beliefs, then discussed four ways of heterogeneous beliefs'evolution and analyzed heterogeneous beliefs'impact on equilibrium. Finally, because of empirical study existing a certain degree of difficulty, therefore, this thesis analyzed model's conclusions by numerical simulation.The main conclusion of this thesis are as follows:①Investor's heterogeneous beliefs didn't always cause overvaluation of asset price, they could also cause the undervaluation of asset price.②There is positive correlation between investors'posterior heterogeneous beliefs and signal.③There is positive correlation between investors'posterior heterogeneous beliefs and the degree of non-rational investors'over-confidence.④Short-sale constraint will cause the overvaluation of asset price, and the more intense of constraint will cause the more over-valuation of asset price.⑤China's Shanghai stock market data of listed companies validated the deduction of endogenous posterior heterogeneous beliefs asset pricing model.⑥China's B-share discount, to a large extent from the A shares uninformed investors'priori beliefs heterogeneity.⑦The evolution of investors'heterogeneous beliefs exists several equilibriums, the evolution may converge to homogeneous belief, and also may converge to the coexistence of heterogeneous beliefs.⑧Under certain conditions, heterogeneous beliefs may cause the equilibrium had more non-rational traders, and under other conditions, may cause the equilibrium had more rational traders.