Research On Investors' Mental Accounting In Financial Market

That some investor's irrationality and limited abbitrage have existed in finance market indicates the traditional finance has serious limitation. However, the behavioral finance by means of theoretic analysis of being close to the real market behavior has exhibited expansive development ability. In the light of mental accounting property and its forming mechanism, the dissertation models and explains some anomalies in stock market based on the recent abroad researches. The detailed research contents of this dissertation are as follows: First of all, the dissertation applies the DAGF method to evalute the different effects that are caused by the different psychology factors when investor makes a decision. This can explain and analyse efficiently the phenomenon of investors'mental accounts. Secondly, this dissertation puts forward that the Granger Causality Test based on the Error Correction Model is used to research the framing dependence. On the basis of the Granger causality among variables, the paper introduces the Granger Causality Test based on the Error Correction Model to test the framing dependence of China's Stock Market. The empirical result indicates which the investors in China also exhibit the framing dependence. Thirdly, the paper researches the estimate of the behavioral Beta value that considers the mental accounting. The paper introduces the Bullish Cognition Index that can reflect the investors'peculiarity of perception about portfolio into the Capital Assets Pricing Model. Next, HML factor that is put forward by Famma and French also is introduced into the Capital Assets Pricing Model. Finally, the empirical result shows that the behavioral Beta value is less than the traditional Beta value since the estimator of Beta value using the Behavioral Assets Pricing Model is closer to the real world and reflects a lower risk than the tradition model. Fourthly, the paper introduces the mental account of investors into the pricing model of the finance options considering, and presents three kinds of option pricing models based on the mental account. Then the paper makes a comparison analysis from the gained result using the four kinds of option pricing model and finds the gained prices using three kinds of option pricing models based on the mental account are in relation with the real probability of movement of stock price. This conforms to investment intuition. However, the gained price using arbitrage-free option pricing model is independent of the real probability of movement of stock price, which doesn't conform to investment intuition. Finally, the paper considers two kinds of narrow framing, namely, investors get direct utility not only from consumption, but also from gains and losses in the value of their overall portfolio of stocks. The paper improves the equilibrium models of stock returns based on the two forms of mental accounting and loss aversion. Using two kinds of models, we can shed light on the some behaviors of stock returns.