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Research on Asset Pricing Model with Double Delays Based on Heterogeneous Beliefs

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DOI: 10.25236/ecomhs.2019.218


Zhang Handan

Corresponding Author

Zhang Handan


In the classical asset pricing theory, the individual investors are usually selected as analysis point. However, in the modern financial market, a large amount of wealth is not managed by investors themselves, but professional institutions. In terms of traditional behavioral asset pricing model, a single representative individual is used to describe all the agency investment institutions, ignoring the competitive behaviors among institutional investors that care about relative performance. Based on this consideration, an asset pricing model with double time delays based on investors' heterogeneous beliefs is established this paper. The existence of heterogeneous beliefs will affect the stock price under the market equilibrium state and make it deviate from the real value, which will also push up the volatility of stocks, make the market prices of risks identified by agents different and show anti-economic cycle characteristics. Based on the trading data of individual stocks in China, this paper empirically analyzes the short-term impact of heterogeneous beliefs on stock prices, and verifies that the higher the heterogeneous beliefs of investors, the higher the weekly return rate, while the highest heterogeneous beliefs will show a significant reversal next week.


Asset Pricing Model, Double Delays, Heterogeneous Beliefs