A Modified Behavior Finance Model: Based on a Non-standard Preference and Investors Heterogeneity
Based on the expectancy theory, Barberis, et al. (2001) introduced the utility induced from fluctuations of their financial wealth into the classical C-CAPM model. For the convenience of analysis, they assumed that there was only one type of investors in the model. However, in real financial markets, there are many types of investors. This article tries to discuss the impact of the investors heterogeneity on asset prices under their non-standard preference and characterizes equilibrium asset prices. In order to give a good explanation to the existence of the equilibrium in our model, this article analyzes the survival of the investors in our model. The result shows that the loss aversion properties of the investors are the most important reason that they survive in finance markets under our assumptions. Finally, our numerical results show that the explanation power of our model is better than that of Barberis, et al. (2001).
Investors Heterogeneity Non-standard Preference Equilibrium
Honggang FAN Guoqing ZHAO
School of Information,Remin University of China,China School of Economics,Remin University of China,China
国际会议
南京
英文
645-660
2008-06-06（万方平台首次上网日期，不代表论文的发表时间）