Study Of Behavioral Asset Pricing Theory

Assets pricing is not only a core content in the financial theory, but also the most focused forefront subject in the financial field. In the standard finance, the famous asset pricing model mainly includes CAPM, APT and options pricing model, which lays a solid foundation for illustrious status of asset pricing in the financial theories. However, with the study deepening, the theoretical basis - the non-reality issues of the rational agent suppose and the efficient market hypothesis are becoming more and more prominent. Because of the individual investors' complexities and differences and the asymmetry of market information, the formation of asset pricing is very complex, resulting in that the standard finance encountered difficulties in the interpretation of some anomalies in the securities market, which promotes the conversion of the asset pricing theory from the standard finance paradigm to the behavioral finance Paradigm. From the bounded rationality of investors and the ineffectiveness of market, behavioral finance presents asset pricing model of its own using psychology, sociology and anthropology and other discipline, and makes a reasonable explanation for the anomalies, which has aroused of great importance. However, the asset pricing theory of behavioral finance itself has many places worthy of further study because of its short history of development. Despite the financial theories are highly regarded in the country in recent years, but they generally are limited to the theoretical and empirical studies on the certain market anomalies and few of them involves the field of asset pricing. In view of this, the paper tries to analyses the asset pricing theory systematically and comprehensively, on the basis of garding and summing up large amounts of literatures.Firstly, this paper recalls the evolution process of the standard finance and behavioral finance in asset pricing theory according to the internal logic of asset pricing theory. Then, in the framework of the behavioral finance theory, the author considers the psychological factors of investors, researches the asset pricing from the actual psychological laws of investors, introduces the variables of the investors' expecting benchmark wealth in from their portfolio, acts the general asset pricing model of behavioral finance, and proves that the capital asset pricing model is a special case of the model. Further, the paper deducts the specific expression of the asset pricing model when investors face the loss aversions of the utility function. Then, the paper makes an empirical Analysis on the funds Zhongcan using the data of China's securities market. The results show that the asset pricing model has a better ability to explain China's stock market, and at the same time, the investors in China may have inclination of overconfidence that caused the lower rate of return on investment, and the funds of securities investment do on pursue the idea of the value of investments the same as people's expectation. Finally, the paper makes a summary and raises the prospect of further study.