The Influence Of Heterogeneous Beliefs On Asset Price-A-Share Empirical And DSSW Model Improvement

This paper starts from the theoretical framework of asset pricing based on investors' heterogeneous beliefs.This paper studies the impact of investors'heterogeneous beliefs on asset prices from two aspects:?empirical study:this paper refers to the additional turnover rate of Garfinkel(2008),which is adjusted by the market,as the proxy index of investors'heterogeneous beliefs.The influence of market information component(such as earnings announcement,etc.)and liquidity demand component on transaction volume is removed,and investors' heterogeneous beliefs are removed directly from trading activities.Based on the theory of Miller(1977),Combined with the special market system of restricting short selling and allowing short selling in Chinese A-share market,referring to the portfolio construction method,the portfolio is constructed according to the degree of heterogeneous beliefs.And using the four-factor asset pricing model proposed by Carhart(1997)to carry on the time series regression to the related variables,after excluding the market income,the scale factor,the value factor and the momentum factor and so on the conventional risk factor to the asset price influence,This paper tests the explanatory power of investors' heterogeneous beliefs to asset prices under short selling restriction and permitted short selling respectively.This paper selects the trading data of China s Shanghai-Shenzhen A-share market from 2016 to 2018 and the financial report data of the corresponding listed companies.The results show that under the restriction of short selling,the degree of investors'heterogeneous beliefs shows a significant positive correlation with the current asset price.There is a significant negative correlation between the future return of the asset and that is,the higher the degree of heterogeneous belief of the current investors,the higher the price of the stock is overvalued,and the lower the future return;Under the condition of allowing short selling,investors' heterogeneous beliefs still have significant explanatory power on the return of assets in that month,but no longer have a significant impact on the return of the following month.There was a group of significantly negative excess returns when the test of conservatism reached a six-month lag and showed a correction to the overvalued value of the asset.This paper argues that the effect of investors' heterogeneous beliefs on asset prices still exists under permitted short selling,which not only validates Miller's theory,but also complements it.?extension of the theoretical model:introduce the positive feedback trader following the price trend into the DSSW model,and derive a rational trader.'The n-period iterative model of the equilibrium price of risk assets in the market co-existing between the positive feedback trader and the negative noise trader,and the influence of three heterogeneous belief investors on the asset equilibrium price is analyzed in detail.From the price formula,it can be seen that the proportion of the three heterogeneous belief investors,as well as their unique trading behavior and trading decision-making,have an effect on the formation of the asset equilibrium price,except for the perfect function of the rational trader on the asset price.The negative noise trader has influence on the asset equilibrium price because of the error of information inferiority on asset price expectation and the positive feedback coefficient of belief intensity of positive feedback trader.Based on the above research results,this paper gives regulators,markets and investors some reference opinions on the impact of heterogeneous beliefs on asset prices.