| 行为资本资产定价模型标注 |
| |
| 引用本文： | 李辉.行为资本资产定价模型标注[J].内江师范学院学报,2009,24(2):67-70. |
| |
| 作者姓名： | 李辉 |
| |
| 作者单位： | 华南理工大学,理学院数学系,广东,广州,510640 |
| |
| 摘 要： | 根据大量实证数据显示股票收益率服从尾部指数为3的情况，构造了特殊的三次价值函数．基于行为金融中的展望理论和处置效应，通过分析价值函数，建立了一个行为资本资产定价模型，并分析了新模型的特点同时将该模型与传统CAPM进行了比较．
|
| 关 键 词： | 行为资本资产 风险反转 展望理论 处置效应 价值函数 |
A Note of Behavioral Asset-pricing Model |
| |
| LI Hui.A Note of Behavioral Asset-pricing Model[J].Journal of Neijiang Teachers College,2009,24(2):67-70. |
| |
| Authors: | LI Hui |
| |
| Institution: | School of Mathematics;South China University of Technology;Guangzhou;Guangdong 510640;China |
| |
| Abstract: | On the basis of large amounts of empirical data showing that the stock returns rate coincides with the rear exponent of 3,a special cubic cost function is built.Based on the prospect theory and disposition effect,and the analysis of the value function,a behavioral asset-pricing model is presented.The characteristic of the new model is analyzed and at the same time a comparision with the classic CAPM is made. |
| |
| Keywords: | behavioral asset-pricing risk reversal prospect theory disposition effect value function |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
