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1、青島大學博士學位論文投資者有限理性與證券價格行為研究姓名：張宗強申請學位級別：博士專業(yè)：系統(tǒng)理論指導教師：伍海華20070617AbstractSincefromMarkowitzmodemfinanceformedacomprehensiveframeworkofEMHbyusingofthe”meanvariance’。researchingideasandquantitativeanalysismethodandsomeimpor

2、tantmodelssuchasCAPMAPTandBSmodelwereestablishedButwith也eprogressoftheresearelLmanymarketanomalieswhichcan’tbeexplainedbytheEMHtheorywerefoundThenresearchersbegantoreflectOlltheEMHtheoryandproposedthemostinfluentialtheor

3、ybehavioralfinanceBehavioralfinancetheorydidtheresearchoninvestors’preferencebiasbeliefbiasandbehavioralbiasundertheboundedrationalityassumptions，pointiIlgoutthefactthattheordinaryinvestorsintheinvestmentprocesssystemati

4、callycontrariestothemtionalityassumptionandwillnotuseBayesianrulesforreasoningTheninbehavioralfinancetheorytheprospecttheoryWasproposedtodistinguishtheSEUtheoryinEMHtheoryforcharacterizingtheutilitiesofinvestorsBasedonth

5、eeorrespolldmgmicroassumptionsaboutinvestorsscholarsdidlotsofresearchesonsecurities’pdcebehaviors，andthen，gavesometheoreticalmodelssuchasCAPMunderthefIlllvrationalityassumptionnoisetradingpriceshoeksroodel“undertheincomp

6、leteinformation，overandunderreactionmodelofstockpriceundertheboundedrationalityassumptionsBAPM，andcohesivemarkethypothesisfromthephysicalfmancialperspectiveByallaboveundertheimportantassumptionsthatboundedrationalinvesto

7、rseeksonlysatisfactorysolutioninsteadoftheoptimalSolutionweestablishedtheinvestorboundedrationalitybehavioralmodelbasedonthe亂z酮maththeorydepictingtheutilityfunctionoftheboundedrationalinvestorsbyanalysistheitpreference，b

8、eliefandbehavioralbiasAndthenwegottheresultthattheirutilitieswereaffectedbytheirtotalwealthlevel，Calrrentprofit，historicalprofitmargins，andreferencere札mlsByestablishingthismodel，webelievethatthechangesofinvestors’psychol

9、o西caleffeetssuch雛greedandfearwillbetheimportantreasonsforinvestors’behavioralbiasthroughthe”referencereturn”factoraffectinginvestors’decisions；theirdegreesofsatisfactionwillbechangedbythechangingofthemarketandfollowingwi

10、thpositiOilschangingoftherisksecuritiesinvestment；afteracompletecycleofmarketvolmilityboundedrationalinvestorswillsuffertheirinevitablelOsseS；andtherewillbeapositivefecdbackprocessbetweenthepricingchangesofrisksecurities

11、andthechangesoftheinvestors’averagepositionswhichwillaffecteachotherInthispapelTrelativeassumptionsandconclusionsofthemodelweretestedbyempiricaltestingandsimulationresearch丑1cempiricalresearchonnetbuyingvolumeandtheprice

12、sofstocksshowstousthatinthelogic，therewasasignificantlypositivecorrelationexistedbetweenthevolatilityofstock’spriceandthenetbuyingvolumeAndMAnABmodelofthesimulationshowsthatinthemarketwheretheaveragepositionshaveapositiv

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