BSV、DHS等模型中资产定价与模糊不确定性下资产定价在逻辑结构上的一致性

doi:10.16381/j.cnki.issn1003-207x.2017.06.003

Abstract

Abstract: Although the behavioral financial models, such as BSV and DHS, can explain the microscopic mechanism of momentum effect in stock market, there exists the non-consistency of investors' behavior assumptions. Firstly, as a reference from the asset pricing under ambiguity, a comparative study between the asset pricing in BSV, DHS model with the asset pricing under ambiguity is made, and it is found that they have a consistent mathematical structure. Secondly, according to the latest theories of decision-making, psychology and neuroscience, these assumptions of investor's behavior in BSV, DHS model can explain in a view of ambiguity reasonablely. Through the above two aspects, it shows that there is consistency of logical structure about asset pricing in BSV, DHS model and asset pricing under ambiguity. The asset pricing in BSV, DHS model can be regarded as different aspects of asset pricing under ambiguity and may be placed on a fundamental logic framework under ambiguity. The non-consistency of investors' behavior assumptions in these behavioral finance models can be solved to a degree.

Key words: underreaction, overreaction, behavioral finance model, Knightian uncertainty, ambiguity, asset pricing

CLC Number:

F224
F830

XU Yuan-dong. The Consistency of Logical Structure about Asset Pricing in BSV, DHS model and Asset Pricing under Ambiguity[J]. Chinese Journal of Management Science, 2017, 25(6): 22-31.

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The Consistency of Logical Structure about Asset Pricing in BSV, DHS model and Asset Pricing under Ambiguity

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