Behavioral Heterogeneity in Stock Prices
Behavioral Heterogeneity in Stock Prices
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DOI：
10.2139/ssrn.676089
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发表时间：
2005-05
期刊：
影响因子：
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通讯作者：
H. Boswijk;C. Hommes;S. Manzan
中科院分区：
文献类型：
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作者：
H. Boswijk;C. Hommes;S. Manzan
我们估计了一个具有异类有限理性代理人特征的动态资产定价模型。风险资产的基本价值对所有代理人都是公开的，但他们对股价偏离基本基准的持久性有不同的信念。一种基于相对过去利润的进化选择机制控制着分数的动态变化以及代理人在不同信念或预测策略之间的切换。与其他策略相比，如果一个策略在最近的过去表现相对较好，它会吸引更多的代理人。我们对1871年至2003年的年度美国股票价格数据进行了估计。估计结果支持两个期望区域的存在，并且Bootstrap F-检验拒绝线性，有利于我们的非线性两型异质代理模型。一种制度可以被描述为原教旨主义制度，因为代理人相信股票价格向基准基本面价值的均值回归。第二种机制可以被描述为图表家，趋势跟踪机制，因为代理人预期从基本面到趋势的偏差。使用原教旨主义和趋势跟踪预测规则的代理人的比例显示出很大的时间变化和在预测者之间的切换。该模型为最近的股价上涨提供了解释。在90年代之前，追随潮流的制度只是偶尔活跃。然而，在90年代末，趋势跟踪机制持续存在，造成了股价与基本面的异常偏离。最近，均值回归机制的启动有助于推动股价回落到接近其基本估值的水平。
We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An evolutionary selection mechanism based on relative past profits governs the dynamics of the fractions and switching of agents between different beliefs or forecasting strategies. A strategy attracts more agents if it performed relatively well in the recent past compared to other strategies. We estimate the model to annual US stock price data from 1871 until 2003. The estimation results support the existence of two expectation regimes, and a bootstrap F-test rejects linearity in favor of our nonlinear two-type heterogeneous agent model. One regime can be characterized as a fundamentalists regime, because agents believe in mean reversion of stock prices toward the benchmark fundamental value. The second regime can be characterized as a chartist, trend following regime because agents expect the deviations from the fundamental to trend. The fractions of agents using the fundamentalists and trend following forecasting rules show substantial time variation and switching between predictors. The model offers an explanation for the recent stock prices run-up. Before the 90s the trend following regime was active only occasionally. However, in the late 90s the trend following regime persisted and created an extraordinary deviation of stock prices from the fundamentals. Recently, the activation of the mean reversion regime has contributed to drive stock prices back closer to their fundamental valuation.