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《Journal of Management Science》 2009-06
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The Equilibrium Asset Pricing Model Based on Investors' Heterogeneous Beliefs

SHI Jin-yan,ZHAO Jiang-shan,ZHANG Mao-jun Department of Economics,Dalian University of Technology,Dalian 116024,China  
Under the framework of behavioral finance,the divergence of opinion existed in the expectation of the stock price is used to stand for the heterogeneous beliefs and an equilibrium asset pricing model is constructed.It has been confirmed theretically that the heterogeneous belief is an important factor affecting asset prices and the equilibrium price changes in the same direction with the degree of heterogeneous beliefs.In addition,Closed-end fund discount is used to be an example to show the usefulness of model in explaining the financial market's anomalous phenomena.Data of China's stock market is selected and an econometric model is built to test the impact of the degree and the volatility of heterogeneous beliefs on asset prices.The empirical results support the conclusions of theoretical models.The empirical results also show that:the coefficient of volatility is significant,which means the heterogeneous beliefs have a significant spillover impact on the stock index.The efficiency of information transfer will affect the degree of investor disagreement,therefore effective information disclosure mechanisms are better able to reduce the problem of stock price over-estimated out of the heterogeneous beliefs.
【Fund】: 辽宁省社会科学基金(L08DJL032);; 辽宁省社科联项目(2009lslktjjx-58);; 辽宁省教育厅人文社会科学项目(2009B040)~~
【CateGory Index】: F224;F830.59
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