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在卖空限制下,将信息异质和先验信念异质纳入统一的分析框架,利用贝叶斯法则推导出两类异质性共同影响下的均衡资产价格模型,进一步分析表明,两类异质性均对资产价格产生影响,但对价格波动的影响不同,异质信息投资者的增多或者先验信念异质性程度的增强会加快资产价格的涨或跌,甚至会导致暴涨或暴跌,这与Miller等仅对单异质性影响进行研究不同,研究揭示了市场中多类异质性的具体影响机制.
Under the limitation of short selling, heterogeneous information and a priori beliefs are heterogeneously incorporated into a unified analytical framework. Bayesian law is used to derive a balanced asset price model under the influence of two heterogeneities. Further analysis shows that there are two types of differences However, the impact of price volatility is different. The increase of heterogeneous information investors or the increase of the degree of heterogeneity of a priori belief will accelerate the rise or fall of asset prices, and may even lead to skyrocketing or plunging, This is different from Miller et al.’s research on only the single heterogeneity, which reveals the specific mechanisms that influence the heterogeneity of the market.