投资者对经济基本面的认知偏差会影响证券价格吗? 中美证券市场对比分析

Summary: By relaxing the complete rationality assumption imposed in the Lucas (1978) consumption-based asset pricing (CAPM) model, we study a new CAPM model in an endowment economy, which incorporates investors’ distorted beliefs on economic fundamentals. When there exists discrepancy between investors’ subjective beliefs and the market objective operating mechanism, our model can capture many well-documented economic anomalies, such as the US equity premium puzzle, and accumulative excess returns. In addition, our paper can address the low correlation between China’s consumption growth rate and its equity premiums. This paper further establishes a new GMM estimation method, which works with non-mathematical expectations. Since current GMM estimation methods can only deliver correct estimations under mathematical expectations, our new estimation method overcomes this one of the biggest challenges that current GMM literature is faced with. Based on our new model and robust estimation procedure, we find that investors in China have significantly low sensitivity on changes in mean levels of economics fundamentals than that in the United States. In the meanwhile, investors in China are prone to react on changes in volatilities of economic fundamentals. The results launched in our paper help explaining a well-known confusing phenomenon in China, that stock market’s performance has been deviating from its real economy for long.