Internal Relation Between Investor’s Heterogenous Belief And Stock Price

The traditional financial asset pricing theory based on homogenous expectations has obvious deficiencies in the interpretation of some visions in the real market,The acceptance and interpretation of information by different investors is inconsistent in the actual market.Therefore,some foreign scholars have begun to try to study the theory of asset pricing from the perspective of heterogeneous beliefs of investors.Foreign scholar Miller(1977)found that under the condition of short selling constraints in the market,only the optimistic investor sentiment in the investor’s heterogeneous belief can be reflected in the stock price,for pessimistic investor sentiment,due to the existence of short-selling constraints,they are unable to conduct short-selling transactions,so they cannot be reflected in the stock price,which ultimately leads to overvaluation of stock prices.However,the overvalued stock price will eventually be disclosed with the market information,and the investor’s heterogeneous belief level will gradually converge,and gradually fall back to the basic value.Therefore,Miller(1977)believes that investor’s heterogeneous belief are positively correlated with the current earnings of stocks and negatively correlated with future earnings of stocks.In China’s stock market,it was not until March 2010 that some stocks were allowed to conduct margin financing and securities trading.Until then,short selling transactions were strictly prohibited.In addition,in China’s A-share market,individual investors occupy a higher proportion,which makes the level of heterogeneous beliefs among different investors more easily amplified.Therefore,compared with foreign mature markets,taking China’s stock market as the research object,it is more ideal to research the relationship between investor’s heterogeneous belief and stock returns under the constraints of short selling.Based on this,this paper selects the sample stocks from the 2008-2012 China A-share listed company annual report as the event window,research on the relationship between investor’s heterogeneous belief and stock return rate by means of portfolio analysis,multiple regression analysis and joint test.This paper first expounds the definition and formation of the concept of heterogeneous beliefs.Secondly,it puts forward the research hypothesis based on the existing relevant literature research.Thirdly,it conducts an empirical test on the research hypothesis.At the same time,it conducts comparative analysis before and after margin financing.Finally,according to Empirical test results draw conclusions and propose relevant policy recommendations.Through empirical tests,it is found that there is a negative correlation between the investor heterogeneous belief before the release of the annual report and the stock excess return rate during the release of the annual report under the condition of short selling;the heterogeneous interpretation of the investor after the release of the annual report and the release of the annual report The stock excess return rate is positively correlated;the investor h eterogeneous interpretation after the release of the annual report is negatively correlated with the cumulative excess return rate of the stock after the release of the annual report,and the degree of negative correlation is stronger with the extension of the holding period.In addition,the comparative analysis before and after the margin financing and securities lending found that the relationship between the investor’s heterogeneous belief and the stock return rate can be changed after the short-selling transaction,which not only affects the weakening,but may even have the opposite relationship.