参考点视角下的适应性行为资产定价研究

The most fundamental aspect of the new paradigm of behavioral finance is the relevance of psychological insights in examining decision-making. However, this relevance is still at its early stage in the sense of considering the endogenously derived preference and belief updating features that are akin to history information and current situation. The goal of this project is to translate some psychological adaptation insights associated with reference point into asset pricing details by formalizing them into standard asset pricing models. Three psychological adaptation mechanisms are considered in this project: 1) the reference point moves in a manner consistent with prior outcomes, shifting upward following a gain and downward following a loss; 2) investors learn differently from gains versus losses when adaptation makes their overconfidence differ in the gain and negative domains; 3) the endogenous loss aversion grows to be more prominent when information becomes sparser...On the theoretical side, we attempt to extend the standard learning-based asset pricing models by further including the psychological adaptation mechanisms, e.g., 1) the combination of the possible dynamically-updating reference point adaptation and asymmetric learning from financial information, 2) the combination of reference point adaptation and adaptive loss aversion with respect to information quality. On the empirical side, we attempt to use real data to calibrate the developed models and examine how the psychological adaptation insights can be used to shed light on some pricing anomalies well-documented in the literature and their cross-country difference between developed and developing stock markets. The overall goal of this research project will be attained, on the knowledge side, by achieving better understanding of the financial implications of psychological adaptation as a promising avenue for predicting price dynamics, and on the technical side, by updating asset pricing models to include the evolution of psychological dynamics for academics and quantitatively oriented professionals.

行为金融学的兴起见证了心理学规律在资产定价领域的广泛应用。本申请的目标是将一些关于心理适应性（即心理偏差受市场因素影响而变动）的深刻见解用于扩展现有的行为资产定价研究。参考点依赖是我们的研究起点，即决策者会根据其参考点将所处情形区分成好坏两种不同状态。在此基础上，我们考虑三种心理适应机制：1）关于价格成本结构的适应性参考点，2）关于盈利和亏损境况的适应性信心与学习模式，3）关于信息质量的适应性损失厌恶。在理论研究方面，本申请拟建立基于这些心理适应机制的市场均衡定价模型（包括噪音投资者模型和代表性个体模型）、明确这些心理适应性机制对于市场均衡的可能影响、推动行为资产定价研究在心理与市场互动维度上的深度和广度。在实证研究方面，本申请定位于在上述心理适应机制及其定价含义的基础上提炼一些新的分析视角，加深对一些具体的中国股票市场异常现象的成因的理解，揭示中国股票市场定价过程更多的心理本质属性。

本项目围绕着前景理论（Prospect Theory）中的关键心理学概念在金融领域的应用展开了一系列研究工作。主要研究成果可以分成金融理论部分和中国金融市场现实部分。原创理论方面的主要成果体现为一个动态投资组合模型和一个适应性资产定价模型。具体而言，（1）我们建立了一个连续时间的动态投资组合模型来分析股票收益的均值回归特征对于具有前景理论偏好的投资者的影响，并发现这个模型比单独引入前景理论偏好或均值回复收益的连续时间模型能更好地解释一些证据充分的个人投资者交易模式；（2）我们在反馈交易的基础上建立了一个资产定价模型研究在市场横截面维度上的适应性投资行为对于风险收益关系的影响，并特别讨论了政府干预对市场风险收益关系的影响。在中国金融市场现实方面，我们有两个主要发现：（1）中国股票市场的整体均值方差关系在爆跌时会被显著破坏，这个特征与以往在欧美市场的发现截然不同，并可以用有限注意力和前景理论的赌博偏好来解释; (2) 中国股票市场中的价格限定制度会导致一种特别的套利限制作用，使得基于前景理论的偏度定价效应会被显著放大，这一点在A股IPO的二级市场定价表现得尤其明显。综上，本项目在前景理论所描述的心理适应机制基础上建立了一些新的金融分析框架和分析视角，有助于理解心理适应性机制对于交易行为和市场均衡的可能影响，推动行为金融研究在心理与市场互动维度上的深度和广度，加深对一些具体的中国股票市场异常现象的成因的理解，揭示中国股票市场定价过程更多的心理本质属性。