Empirical Research On Behavioral Asset Pricing Model

In the analysis of CAPM model , it assumes every investors only cares investment profits and portfolio risks, then to balance the result。The behavioral financial theories insists that the assumption of CAPM about investors are rational is unrealistic. Hence, Shefirn and Statman made up the behavioral asset pricing model, BAPM. Behavioral asset pricing model was developed from behavioral financial theory. It could be used to capital pricing. Behavioral asset pricing model has separated the investors to two sides. One side is called information traders; and the other is called noise traders. This article introduces the main content of the Behavioral Asset Pricing model, BAPM. Moreover, it investigates the model by using results and experience analysis, which includes assumption, design and check three-step on Shanghai stock market. Through adopting the time series method and the Gross Sectional Regression method, results analysis shows that the noise traders and the high risk of noise trading do exist in the Shanghai stock market. The noise trading could lead to profits or a heavy lose to investors. However, the probability of heavy lose by noise trading could be higher. As a result of that, in Shanghai stock market, BAPM could be more effective than CAPM.