The Study Of Asset Pricing Based On Investors' Heterogeneous Beliefs

Traditional asset pricing theories price the assets based on the hypothesis that investors are rational and market is efficient, which are the core of modern financial theory. The theories are paid extensive attention by the scholars, developing into a relatively complete theoretical system framework. However, with the continuous deepening of the research, the financial anomalies in the market which cannot be explained by traditional asset pricing have came out, and meanwhile the negative evidences in empirical research are increasingly found. Behavioral finance which aims at explaining the various anomalies in the modern financial market is on the rise. With the introduction of heterogeneous beliefs model, behavioral asset pricing theory has successfully described a large number of the market anomalies which traditional asset pricing theory cannot explain. Therefore, asset pricing research based on the investors' heterogeneous beliefs has important practical significance.Firstly, from the model studies and empirical studies aspects, this paper straightens out and reviews the existing research in the asset pricing theory based on the investors' heterogeneous beliefs, and then analyzes the theoretical basis and the assumption of the asset pricing research based on the investors' heterogeneous beliefs, accordingly studies the influence and mechanism of the investors' heterogeneous beliefs effects on the stock market price. On this basis, this paper leads the investors' over-pessimistic bias into the overconfidence model, and then based on these two irrational beliefs, establishes the heterogeneous beliefs assets pricing model with the introduction of the investors' heterogeneous beliefs in the overconfidence model. The model results show that the degree of the investors' heterogeneous beliefs changes with the stock market price in the same direction. Subsequently, the paper makes empirical analysis with the China's Shanghai and Shenzhen 300 index and Bulls and Bears index, and uses the Bulls and Bears index as the proxy of the heterogeneous beliefs. With the introduction of the proxy into the ARCH family volatility model, the paper investigates the interactive relationship between the investors' heterogeneous beliefs and the stock market returns as well as the volatility. Simultaneously, the theoretical models research of this paper has been empirically proved by the China's stock market data. In the end, this paper analyzes the received conclusions, and gives China's stock market's supervision department some proposal.