同质信念、异质信念与市场中性策略实证研究

在同质信念资产定价模型假定下,市场中性策略各风险资产权重为零,这与投资实践不吻合。要解决这一问题,需要把市场中性策略拓展到异质信念资产定价模型中。本文完成了异质信念假定下市场中性策略最优对冲比例的求解,为广泛存在的市场中性策略提供了理论指导。在此基础上,本文选取扣除市场因子、行业因子和流动性需求后的换手率指标作为异质信念代理指标,实证分析了异质信念市场中性策略可以获得稳定的中性策略收益。

Empirical Study on Homogeneous Belief, Heterogeneous Belief and Market-neutral Strategies

Under the assumption of homogeneous belief asset pricing model,the weight of the market neutral strategy risk assets is zero,which doesn’t agree with the practice.The solution of the problem needs to expand the market neutral strategy to the heterogeneous belief asset pricing model.This paper completes the solution of portfolio weight of market-neutral strategies with the heterogeneous belief assumption,given the theoretical guidance for widespread market-neutral strategies.In this paper,deducting the market and industry factor and liquidity demand factor and using the turnover rate index as heterogeneous belief agent index,the author empirically demonstrates that market-neutral strategies from heterogeneous belief can obtain stable income.