南方金融
南方金融
남방금융
South China Finance
2014年
10期
76~82
,共null页
股票市场 投资收益 异质信念 分歧风险因子
股票市場 投資收益 異質信唸 分歧風險因子
고표시장 투자수익 이질신념 분기풍험인자
Stock Market; Investment Income; Heterogeneous Opinion; Divergence Risk Factor
本文利用资产组合分析和包含分歧风险因子的多因素模型,分析了投资者异质信念对股票价值溢价的影响。研究结果表明：投资者异质信念对价值型股票组合和流通市值大的股票组合的价值溢价具有显著影响,且投资者异质信念程度越大,这类股票组合的价值溢价也越大。
本文利用資產組閤分析和包含分歧風險因子的多因素模型,分析瞭投資者異質信唸對股票價值溢價的影響。研究結果錶明：投資者異質信唸對價值型股票組閤和流通市值大的股票組閤的價值溢價具有顯著影響,且投資者異質信唸程度越大,這類股票組閤的價值溢價也越大。
본문이용자산조합분석화포함분기풍험인자적다인소모형,분석료투자자이질신념대고표개치일개적영향。연구결과표명：투자자이질신념대개치형고표조합화류통시치대적고표조합적개치일개구유현저영향,차투자자이질신념정도월대,저류고표조합적개치일개야월대。
This article analyses the effect of heterogeneous opinion among investors to value premium with asset portfolio analysis and multifactor asset-pricing model including divergence risk factors. The results show that, the investors＇ heterogeneous opinion have significant effect on the value and large-cap stock portfolio. And the greater of the investors＇ heterogeneous opinion, theses stocks have more value premium.
