| There is an important assumption in the classic asset pricing model-the homogeneous expectations,that is,all investors have the same estimates of the expected return and variance of the same risk asset under the same holding period.Due to various financial anomalies and the emergence of asset price bubbles,academics have begun to reflect on classic asset pricing models and gradually relax the premise assumptions in the models to make the model settings closer to the actual financial market.The heterogeneous beliefs is a major breakthrough for homogeneous expectations.Regardless of whether the information is transmitted through distinct channels or speeds,or the unique way in which information is understood,it is difficult for different investors to make completely identical expectations for the same asset,that is,to show the heterogeneous beliefs,which can also be called divergence of opinion.Most previous studies on investor heterogeneous beliefs regard investors as a whole.However,compared with institutional investors,individual investors are in a weak position of information and exhibit a higher degree of irrationality.Their wealth level,education level,occupation,age,and other characteristics are quite different,and these personal characteristics will be comprehensively reflected in their investment decision-making behavior,making the way investors acquire and process information completely different and easier to show obviously divergence of opinion.In addition,the high proportion of individual investors is one of the important characteristics of the Chinese A-share market.The financial literacy of individual investors is uneven and shows obvious speculation.Therefore,understanding the trading behavior of individual investors is a necessary prerequisite for improving market stability.Combining theoretical development and practical needs,this dissertation aims to focus on the factors that influence the divergence of opinions of individual investors and the impact on future stock returns.Simultaneously,we also attempt to understand the impact of individual investors’ trading behavior on the stock market from the perspective of investor disagreement.First of all,this dissertation constructs a new indicator to measure the dispersion in beliefs among individual investors based on investors’ trading and holding behavior.Investors’ expectation on future stock returns is a more subjective concept.This dissertation reflects the expectations of individual investors for specific stocks through changes in shareholding ratios,and then calculates the degree of dispersion in beliefs among individual investors.The indicators constructed in this dissertation make up for the shortcomings of individual investor opinion divergence indicators constructed by Goetzmann and Massa.The empirical results also show that the indicator constructed in this dissertation are reasonable and have no obvious correlation with the institutional investor opinion divergence indicators relationship.Moreover,Secondly,by analyzing the characteristics of individual investors and their trading performance,we find that the characteristics of individual investors in the Chinese A-share market are significantly different,and the trading performance of individual investors is closely related to their characteristics.Investors’ characteristics play an important role in their investment decision-making process,and may also be one of the reasons that lead them to make distinctive expectations for stocks.Then,this dissertation further explores the factors that affect the dispersion in beliefs among individual investors.The empirical results show that the fundamental characteristics of the firms and the characteristics of individual investors are major factors affecting the degree of dispersion in beliefs among individual investors.Furthermore,this dissertation tests the ability of individual investors to predict stock returns with divergent opinions.Combining portfolio analysis and Fama-Macbeth regression analysis demonstrates the negative correlation between the dispersion in beliefs among individual investor and future stock returns.The higher the degree of individual investor opinion divergences,the lower the future stock returns.Subsequently,we further explored whether the short-selling constraint can affect the ability to forecast earnings of divergent opinion of individual investors,and the results show that the introduction of the securities lending business can alleviate the negative impact of the dispersion in beliefs among individual investors on future stock returns.Finally,on the basis of the previous research conclusions,we further examined the impact of divergent opinions of individual investors on stock returns in different moods.When investor sentiment is high,more individual investors participate in the stock market transactions and show more obvious irrationality,so the degree of divergence of opinions among individual investors is relatively higher.The results of group regression and dummy variable regression confirm that investor sentiment can affect the stock return forecasting ability of individual investors with different opinions.In the period of high investor sentiment,there is a significant negative correlation between the divergence of individual investor opinions and the future returns of the stock,while in the period of low investor sentiment,this negative correlation is no longer significant.In summary,this dissertation aims to focus on the individual investor and examine the impact of individual investors’ trading behavior on the Chinese A-share market from the perspective of heterogeneous beliefs.From the construction of dispersion in beliefs among individual investors,to the analysis of its determinants factors,and the impact of dispersion in beliefs individual investors on stock returns under different market conditions,this dissertation provides a more complete empirical asset pricing study under the framework of heterogeneous beliefs,and supplements the gaps in research on divergent opinion of individual investors.The conclusions of this dissertation provide an empirical basis for regulators to sort out market laws and understand the investment behaviors of individual investors. |
