投资者非理性认知环境下的股票收益预测与投资组合研究

投资者非理性认知相关研究是当前金融研究的前沿课题。本项目探讨投资者非理性认知的度量，并将其应用于股票收益预测及资产的配置，回答投资者非理性认知环境下资产定价与资产配置中面临两个问题：一是如何对投资者非理性认知进行度量并进行有效性检验？二是投资者非理性认知是如何影响资产定价及资产配置的？项目第一部分通过对投资决策认知过程各心理偏差进行分析，构建出投资者非理性认知指数，并进行度量的有效性检验；第二部分分析投资者非理性认知对股票收益预测的非线性及动态作用；第三部分改进Black-Litterman框架，构建投资者非理性认知影响下的投资组合模型，并对投资组合效率进行实证检验。本项目将推进投资者非理性认知的相关基础研究，将丰富和推进基于投资者非理性认知的资产定价(预测)与投资组合理论的讨论，对有效引导我国股票市场投资者的投资行为、为金融监管及相关政府部门提供制定政策的依据等方面具有重要现实意义。

The research on investors' irrational cognition is a frontier subject in current financial research. This project explores the measurement of investors' irrational cognition and applies it to stock return forecasting and asset allocation. Two questions are answered in assets pricing and allocation, Under the environment of investors' irrational cognition: first, how to measure investors' irrational cognition? Second, how does investors' irrational cognition affect asset pricing and efficient asset allocation? In the first part of this project, through the analysis of psychological biases in the cognitive process of investment decision-making, the irrational cognition index of investors is constructed and the effectiveness of measurement is tested. In the second part, the nonlinear and dynamic effects of investors' irrational cognition on stock return prediction are analyzed. In the third part, portfolio models under the influence of investors' irrational cognition are constructed by improving Black-Litterman framework, and the portfolios' efficiencies are tested empirically. The project will promote related basic research of investors' irrational cognition in the field of behavioral finance, and will enrich and promote the literature on stock pricing (forecasting) and behavioral portfolio theory discussion. The project will have important practical significance to effectively guide the investment behavior of Chinese stock market investors and provide policy basis for financial supervision and other relevant government departments.