本文通过放松Lucas(1978)资本资产定价模型的完全理性假设,构建了投资者的经济基本面认知偏差对证券价格影响的计量模型。当投资者主观认知和市场实际运行机制存在偏差时,该模型能较好地解释诸如消费增长率同股权溢价的相关性、累积超额收益等传统资产定价模型无法量化的诸多中国股市难题。本文还推导出了适用于非理性期望的广义矩估计方法(GMM),克服了现有GMM方法只能在完全理性期望下使用的局限性。基于该方法,本文以中国和美国为例,模拟检验了投资主体的不同认知偏差对股价和债券价格的差异性影响程度。结果显示,中美投资者的主观预期形式并不完全相同。美国投资者对经济基本面信息均值的变化反应较敏感;而中国投资者却对经济基本面波动的变化反应较敏感。该结果从认知偏差角度解释了中国股价长期背离经济基本面的现象,为政府规范股票市场的发展,促进股市服务实体经济提供了政策启示。

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.