关键词: 异质价格信念；金融资产泡沫；外推交易行为；现金流股息冲击；市场出清

Abstract: Financial asset bubble has been recurring phenomena in economic history, which has been observed in different time periods, in economies at different stages of development, and across a wide range of asset classes. It is also an anomaly of asset price, which strongly deviates from its fundamental value, has the devastating effects on financial market, results in the misallocation of resources, the impaired balance sheets, and etc., even the economic (financial) crisis. So, assuming that the future price changes of risky asset is formed by the extrapolation of its past price changes, a new asset price bubble model is proposed to study the forming mechanism of financial asset bubble, extract its intrinsic characteristics, and obtain relevant evidence for the stable development of financial market based on the cash-flow dividend shocks. Assuming that the investor of heterogeneous price beliefs has the preference of a constant absolute risk aversion utility, the optimal risky asset demand function of fundamental investor and extrapolative investor is obtained based on the model of expected utility; further, during the process of asset trading, it assumes that the extrapolative investor partly pays attention to the fundamental value of risky asset, modifies its optimal risky asset demand function, and obtains the asset price bubble model under the condition of market clearing; based on the setting of model parameter, it simulates the forming mechanism of financial asset bubble, and analyzes its inherent characteristics with the evidence from financial market; at last, based on the comparative setting of parameter value, it discusses the factors that affect the degree of strength and weakness of financial asset bubble from the perspective of investor’s heterogeneity and risk-free asset’s return. Results show, under the shocks of positive cash-flow dividend, the extrapolative trading behavior leads to the financial asset bubble, which has a lagging effect; financial asset bubble has the typical characteristic of three-stage, and the simultaneously rising of volume and price is a significant sign of the starting of financial asset bubble; the supply of risk-free asset is a suppressor of financial asset bubble; the difference of investor structure and their price beliefs is closely related to the degree of strength and weakness of financial asset bubble. The study not only provides an analytical framework for the forming mechanism of financial asset bubble, but also gives some relevant evidence for the stable development of financial market.

Key words: heterogeneous price beliefs; financial asset bubble; extrapolative trading behavior; cash-flow dividend shock; market clearing