| 过度自信与风险溢价研究 |
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| 引用本文： | 姜伟,杨春鹏,刘喜华. 过度自信与风险溢价研究[J]. 运筹与管理, 2007, 16(5): 122-125 |
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| 作者姓名： | 姜伟 杨春鹏 刘喜华 |
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| 作者单位： | 青岛大学,经济学院,山东,青岛,266071 |
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| 摘 要： | 非理性投资者的心理会影响风险溢价。本文基于投资者的过度自信心理偏差构建了证券投资的理性风险溢价度量模型、非理性风险溢价度量模型,并利用理性投资者和非理性投资者的相互作用,构建了证券投资的市场风险溢价度量模型,研究了非理性风险溢价对理性风险溢价和市场风险溢价的偏离问题。研究结论表明:非理性风险溢价偏离市场风险溢价的程度依赖于非理性投资者的市场价值权重。
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| 关 键 词： | 金融学 风险溢价 过度自信 非理性风险溢价 市场风险溢价 |
| 文章编号： | 1007-3221（2007）05-0122-04 |
| 修稿时间： | 2007-06-10 |
Research on Overconfidence and Risk Premium |
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| Jiang wei,Yang Chun-peng,Liu Xi-hua. Research on Overconfidence and Risk Premium[J]. Operations Research and Management Science, 2007, 16(5): 122-125 |
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| Authors: | Jiang wei Yang Chun-peng Liu Xi-hua |
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| Affiliation: | School of Economics, Qingdao University, Qingdao 266071, China |
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| Abstract: | The psychology of irrational investors can affect risk premium.A rational risk premium model and an irrational risk premium model are established.A model of market risk premium through the interaction of rational investors and irrational investors is constructed.The bias problem of irrational risk premium relative to the rational risk premium and the market risk premium is studied.We conclude that the degree of the bias of the irrational risk premium relative to the market risk premium depends on the value weight of the irrational investors. |
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| Keywords: | finance risk premium overconfidence irrational risk premium market risk premium |
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