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Empirical Research on Behavioral Asset Pricing Model

Author: HuangZuo
Tutor: ChenJuHua
School: Southeast University
Course: Accounting
Keywords: Capital Asset Pricing Model Behavioral Asset Pricing Model Empirical test
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 533
Quote: 4
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Abstract


Asset pricing theory is the core of modern financial theory , as the securities analysis , the most important and critical aspects of securities pricing to provide investors with a decision-making basis . At present, China's securities market , securities pricing is random , non-standard and non- rational noise trading risk , therefore , a thorough understanding of the pricing behavior of stock prices in the Chinese stock market and the status quo of China 's securities market is currently the most urgent tasks, both in theory and in practice are of great importance , and are conducive to the development of China 's securities market norms . Modern financial theory , the capital asset pricing model (CAPM) , it is assumed that all investors are only concerned about the return on investment and portfolio the covariance ( risk ) , the equilibrium between the two export conclusion . Behavioral finance experts , however , insist that the CAPM assumes that investors are totally irrational sub - reality , this Shefrin and Statman (1994) build a behavioral asset pricing model ( behavioral asset pricing the model, BAPM ) . Behavioral asset pricing model is developed on the basis of behavioral finance , asset pricing theory, the article describes the behavior of the specific content of the asset pricing model , and the empirical analysis methods and means of empirically validated , combined with the practice of the Shanghai stock market on behavior asset pricing model validation , using time-series and cross-section regression analysis method , empirical analysis shows that : the Shanghai stock market , the existence of noise trading and noise trading risk is very large , while noise trading risk may also bring benefits to investors may result in losses to investors , but the greater the potential for loss on the Shanghai stock market , BAPM more effective than the CAPM . Seen that the efficiency of China's securities market is very low , how to change the current status quo ? Author proposed a common governance by listed companies , the securities regulatory authorities , intermediaries , institutional investors , small investors stock market noise problems countermeasures .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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