摘要在标准金融理论中，研究的前提是投资者是理性的，信念是同质的，然而随着金融和股票市场的发展，以有效市场假说和理性人假设为前提的传统资产定价理论已经无法完整的解释市场上出现的一些特殊现象，于是人们放开了这些前提条件，开始对异质信念进行关注和分析，研究异质信念之下的资产定价和股票收益问题。1977年Miller发现，在市场存在卖空限制的前提下，异质信念使得悲观投资者的意见被忽略而乐观投资者影响了股票收益，导致股票的价值被高估，甚至产生投机泡沫，投资者损失惨重。本文通过对异质信念代理指标的分析来研究异质信念对股票收益的影响，并针对这一问题，为使股市能更加稳定而健康的发展提出了一些建议。27113
关键词  异质信念  股票收益  好淡指数  GARCH模型
毕业论文外文摘要
Tittle    The Effect of Heterogeneous Beliefs on Stock Returns                  
Abstract   
In the standard financial theory,the premises of researches are that investors are rational and faith is homogeneous.But with the development of the financial and stock market,on the premise of the efficient market hypothesis and rational man hypothesis,the traditional asset pricing theory has been difficult to completely explain some of the special phenomena that appeared in the market.So people let go those preconditions above,and began to focus on and analyze heterogeneous beliefs,and research asset pricing and stock returns in the condition of heterogeneous beliefs.In 1977 Miller found that when the market is under the premise of short sale constraints,heterogeneous beliefs made the opinions of the pessimistic investors be ignored,and optimistic investors influenced stock returns, which led to the overvaluation of stocks, even the production of speculative bubble,as a result,the investors suffered great losses.By analyzing the proxy indexes of the heterogeneous beliefs,this article studies about the effect of heterogeneous beliefs on stock returns,and makes some suggestions in order to solve this problem,to make the stock market more stable and healthy.
Keywords  Heterogeneous beliefs  Stock returns  Bullish consensus  GARCH model
目   次
1  引言  1
1.1  研究背景及意义  1
1.2  国内外研究现状  1
1.3  文章结构及主要内容  3
1.4  研究方法  3
2  异质信念及相关理论  4
2.1  异质信念和股票收益  4
2.1.1  异质信念相关概念  4
2.1.2  异质信念如何对股票收益产生影响  4
2.2  异质信念代理指标  5
2.2.1  投资者交易策略  5
2.2.2  股票收益波动率  6
2.2.3  换手率  6
2.2.4  好淡指数  7
3  好淡指数对收益率影响相关研究  8
3.1  代理指标与样本数据的选取  8
3.2  周度、月度好淡指数与收益率关系检验  8
3.2.1  平稳性检验  9
3.2.2  格兰杰因果检验  9
3.3  ARMA模型下的序列研究  10
3.3.1  关于ARMA模型  10
3.3.2  月度好淡指数的自回归模型  11
3.4  GARCH模型下的相关研究  12
3.4.1  沪深300指数收益率投机分析  12
3.4.2  ARCH模型的选择依据  13
3.4.3  关于GARCH模型  14
3.4.4  基于我国股市的GARCH模型分析  15
结论  16
致谢  17
参考文献  18
附录A  单位根检验  20
附录B  自相关、偏自相关检验  20 GARCH模型异质信念对股票收益率的影响:http://www.751com.cn/jingji/lunwen_21512.html