Anchoring Belief,Investor Behavior and Risky Asset Pricing
The anchoring effect affects the updating of investors'beliefs,which in turn affects the pricing of risky assets.The pa-per employs Ornstein-Uhlenbeck process to depict the mean regression process of investors'anchoring beliefs,and constructs an asset pricing model based on heterogeneous anchoring beliefs,and derives the demands for risky assets of investors who is hold-ing different anchoring beliefs and asset equilibrium price.The numerical simulation research results show that:investors'an-choring beliefs affect the equilibrium price of risky asset and have an asymmetric effect on the formation of equilibrium price;heterogeneous anchoring beliefs affect investors'holding behavior towards risky asset,thereby affecting market liquidity,volatili-ty,and efficiency.
NETL
NSTL
万方数据
