行为资产定价模型

基于流动性风险的行为资产定价模型研究

The Behavioral Asset Pricing Model based on Liquidity Risk

行为资产定价模型的适用性研究

Research on Applicability of Behavioral Asset Pricing Model

基于时间-概率权衡的行为资产定价模型

Behavior Asset Pricing Model Based on Time-Probability Tradeoff

带有价格波动项的行为资产定价模型研究&投资与消费之间的均衡分析

The Study of Equity Premium in China with Behavioral Asset Pricing Model Containing Volatility Term

本文将流动性因素纳入股票横截面收益的关键影响因素，构建了基于流动性风险调整的行为资产定价模型，利用欧拉方程确定了模型均衡价格。

The behavioral asset pricing model with liquidity risk is proposed . The equilibrium price is determined through Euler equations .

首先，阐述资本资产定价模型和行为资产定价模型的相关理论。

Firstly , the thesis elaborates the related theory of the Capital Asset Pricing Model and Behavior Asset Pricing Model .

进一步地，推导了当投资者面临损失厌恶的效用函数时，行为资产定价模型的具体表达式。

Further , the paper deducts the specific expression of the asset pricing model when investors face the loss aversions of the utility function .

通过利用行为资产定价模型的检验可以得出在较长的时期内交易较为活跃的股票均不同程度地受到噪声交易的影响。

By the test of the Behavioral Assets Pricing Model we can find that in a long time the securities that has higher liquidity all have noise trader risk .

本文选取2007年到2010年沪深两市上市公司股票日收盘数据和相应指数日收盘数据，基于行为资产定价模型进行实证研究。

This study selects listed companies stock data and the corresponding index data from Shanghai stock exchange and Shenzhen stock exchange in 2007 to 2010 and does research , based on Behavior Asset Pricing Model .

本文利用我国证券市场数据对行为资产定价模型的适用性进行了检验，发现行为资产定价模型适用于股价上涨时期，而非股价下跌时期。

The paper tests the applicability of Behavioral Asset Pricing Model with the data from Securities Market of China , and finds Behavioral Asset Pricing Model is available when the stock price rises not goes down .

本文的不足之处是利用行为资产定价模型验证噪声交易对中国证券市场的影响时无法找到精确的行为资产组合，而选择深圳成分指数作为替代，因此对模型的精确度产生了一定的影响。

But the construction of the Behavioral Portfolio is complicated , and due to limitation of the author , the ShenZhen component index is used as a substitute to the Behavioral Portfolio , so the precision of the model will be influenced .

建立了基于下偏矩的行为资本资产定价模型LPM-BAPM，更加符合中国个体投资者的认知风险和实际投资决策行为。

BAPM based on LPMs ( LPM-BAPM ) is developed , which is more suitable to Chinese investor 's risk perception and actual investment decision making process .

基于下偏矩的行为资本资产定价模型研究

Research on Behavioral Capital Asset Pricing Model Based on LPMs

传统的公司金融理论体现在基于价值的管理（Value-Basedmanagement），即建立在理性行为、资本资产定价模型和有效市场三个基础之上。

Traditional corporate finance theory is based by the theory of Value-based Management , and it is built by the basis of rational behavior , CAPM theory , efficient market hypothesis .

行为资产定价理论及其模型的实证研究

Behavioral Asset Pricing Theory and Its Empirical Study

基于价值管理的公司金融理论立足于三个基础假设：理性行为、资本资产定价模型和有效市场。

Corporate finance theory based on corporate value is established in three basic assumptions : rational behavior , the capital asset pricing model and the efficient market .

该结论在很大程度上支持了基于羊群行为的有限理性资产定价模型。

This conclusion lies in line with the assets pricing model of bounded rationality based on herding behaviors .

最后分析了行为金融的几个主要理论模型，分别是期望理论、行为资产定价模型和行为金融组合理论。

I also analyze some important BF models , which are prospect theory , behavioral asset pricing theory and behavioral portfolio theory .

本文构造了行为资产定价的一般均衡研究框架，指出了此框架与行为金融理论的区别，并在此框架下，综述了当前流行的行为资产定价模型。

This paper constructs a general equilibrium framework for behavior asset pricing models , studies the differences between the framework and behavior finance , and uses the framework to summarize some behavior asset pricing models .