Asset-pricing Models And Their Empirical Tests

Behavioral finance and assets pricing problem is very significant in the theory circle all the time. Behavioral finance lose the rational person hypothesis in traditional finance and think because people are not rational, their policy decisions are always be influenced by psychology or belief. Assets pricing problem is the nucleus problem of finance market. It is very important to discuss how to price asset in order to make the price conform to the value. It will be useful for us to use the achievements of study on investor's psychology and behavior.The article contains two aspects to introduce the union of behavior finance and assets pricing models and it also did some empirical test. The work and conclusions are as follows:1 .Expounding the traditional assets pricing model and test it with some representative stocks in Shanghai bond market. We found there was linear relationship between stock profit and risk, but the relationship between the two of them are not established as absolutely as described in traditional assets pricing models. The stock profit rate is not high enough to compensate the system risk, some other factors play important roles in asset pricing.1. The article expounds the behavioral asset pricing model, too. This is one aspect about the union between behavioral finance and assets pricing models. The test in Shanghai and Shenzhen bond market about it tells us that most stocks in the two markets are not influenced by noisy traders and noisy traders are not extensive. This indicated the history of behavioral finance is so short that it is difficult for it to suit for Chinese bond markets. But we can't deny the achievements of its study on investor's psychology and behavior. They are very useful to explain the influence from invest policy decision to assets pricing.2. Discussed the delegated agent asset-pricing model. This is a new direction to discuss the assets pricing problem, and soon after explained this model from the behavior finance angle. Adding the over-confidence influence and explain the model from over-confidence psychology.