The Impact of Investor Heterogeneity on Asset Pricing Models: A Reconstruction Incorporating Risk Preferences, Information Acquisition, and Investment Experience

Beibei Chen

doi:10.47297/wspceWSP2516-251920.20250902

PDF
导出
分享
收藏
专辑

The Impact of Investor Heterogeneity on Asset Pricing Models: A Reconstruction Incorporating Risk Preferences, Information Acquisition, and Investment Experience

9卷第2期

浏览量: 0 Downloads: 0

The Impact of Investor Heterogeneity on Asset Pricing Models: A Reconstruction Incorporating Risk Preferences, Information Acquisition, and Investment Experience
The Impact of Investor Heterogeneity on Asset Pricing Models: A Reconstruction Incorporating Risk Preferences, Information Acquisition, and Investment Experience
Beijing Jiaotong University, Beijing, China, 100044
2025年9卷第2期页码：117-121
纸质出版日期：2025-04-28
DOI：10.47297/wspceWSP2516-251920.20250902
Accepted：

Scan QR Code

(2025). The Impact of Investor Heterogeneity on Asset Pricing Models: A Reconstruction Incorporating Risk Preferences, Information Acquisition, and Investment Experience. 创意经济（英文版）, 9(2), 117-121.

Chen Beibei.The Impact of Investor Heterogeneity on Asset Pricing Models: A Reconstruction Incorporating Risk Preferences, Information Acquisition, and Investment Experience[J].Creative Economy,2025,09(02):117-121.
(2025). The Impact of Investor Heterogeneity on Asset Pricing Models: A Reconstruction Incorporating Risk Preferences, Information Acquisition, and Investment Experience. 创意经济（英文版）, 9(2), 117-121. DOI： 10.47297/wspceWSP2516-251920.20250902.

Chen Beibei.The Impact of Investor Heterogeneity on Asset Pricing Models: A Reconstruction Incorporating Risk Preferences, Information Acquisition, and Investment Experience[J].Creative Economy,2025,09(02):117-121. DOI： 10.47297/wspceWSP2516-251920.20250902.

摘要

Abstract

The Capital Asset Pricing Model (CAPM) has been a foundational framework in finance

offering a method for estimating asset returns based on market risk. However

the traditional CAPM assumes investor homogeneity

disregarding differences in risk preferences

access to information

and investment experience. This paper addresses the limitations of CAPM by incorporating investor heterogeneity into asset pricing models

proposing an extended framework that accounts for risk preferences

information acquisition

and investment experience. The study suggests that varying levels of investor risk aversion

access to information

and experience significantly influence asset pricing and market behavior. Acknowledging these factors provides a more accurate and nuanced reflection of real-world markets

where investors are not homogeneous. The proposed model demonstrates enhanced explanatory andpredictive power regarding asset returns

improving resource allocation and investment decisions. Furthermore

the model offers insights for financial professionals

such as portfolio managers and financial advisors

by enabling more personalized investment strategies tailored to individual investor characteristics. This research challenges the assumptions of the traditional CAPM and presents a more comprehensive framework that could lead to more efficient market outcomes and optimized asset pricing.

关键词

Keywords

references

Elbannan M . A . ( 2015 ). The capital asset pricing model: an overview of the theory. International Journal of Economics and Finance. Available at : http://dx.doi.org/10.5539/ijef.v7n1p216 http://dx.doi.org/10.5539/ijef.v7n1p216

Jensen M . C . ( 1969 ). Risk, the pricing of capital assets, and the evaluation of investment portfolios. The Journal of Business. Available at : https://www.jstor.org/stable/2351902 https://www.jstor.org/stable/2351902

Gallant A. R. , & Tauchen G . ( 1989 ). Seminonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications. Econometrica . Available at : https://public.econ.duke.edu/~get/wpapers/GT1989.pdf https://public.econ.duke.edu/~get/wpapers/GT1989.pdf

Campbell J . Y . ( 2000 ). Asset pricing at the millennium. The Journal of Finance. DOI: https://doi.org/10.1111/0022-1082.00260 https://doi.org/10.1111/0022-1082.00260

Kayo E. K. , Martelanc R. , Brunaldi E. O. , & da Silva W . E . ( 2020 ). Capital Asset Pricing Model (CAPM), beta coefficient constancy, and the pricing conundrum of electrical transmission in Brazil. Power Policy. Available at : https://www.sciencedirect.com/science/article/pii/S0301421520302330 https://www.sciencedirect.com/science/article/pii/S0301421520302330

Levy H . ( 2010 ). The CAPM is alive and well: A review and synthesis . European Financial Management . DOI: https://doi.org/10.1111/j.1468-036X.2009.00530.x https://doi.org/10.1111/j.1468-036X.2009.00530.x

Boswijk H. P. , Hommes C. H. , & Manzan S . ( 2007 ). Behavioral heterogeneity in stock prices. Journal of Economic Dynamics and Control . Available at : https://www.econstor.eu/bitstream/10419/86437/1/05-052.pdf https://www.econstor.eu/bitstream/10419/86437/1/05-052.pdf

Telmer C . I . ( 1993 ). Asset‐pricing puzzles and incomplete markets. The Journal of Finance. DOI: https://doi.org/10.1111/j.1540-6261.1993.tb05129.x https://doi.org/10.1111/j.1540-6261.1993.tb05129.x

Locke S . ( 1987 ). The capital asset pricing model and real estate investment analysis. University of Tasmania . Available at : https://figshare.utas.edu.au/articles/thesis/The_capital_asset_pricing_model_and_real_estate_investment_analysis/23233376/1 https://figshare.utas.edu.au/articles/thesis/The_capital_asset_pricing_model_and_real_estate_investment_analysis/23233376/1

Ross S . A . ( 2013 ). The arbitrage theory of capital asset pricing. Handbook of the Fundamentals of Financial Decision Making. DOI: https://doi.org/10.1142/9789814417358_0001 https://doi.org/10.1142/9789814417358_0001

Constantinides G. M. , & Duffie D . ( 1996 ). Pricing of assets with diverse consumer bases. Journal of Economics and Politics . Available at : https://www.journals.uchicago.edu/doi/abs/10.1086/262023 https://www.journals.uchicago.edu/doi/abs/10.1086/262023

Kristoufek L. , & Ferreira P . ( 2018 ). Capital asset pricing model in Portugal: Evidence from fractal regressions . Portuguese Economic Journal . DOI: https://doi.org/10.1007/s10258-018-0145-5 https://doi.org/10.1007/s10258-018-0145-5

Hommes C . H . ( 2006 ). Diverse actor models in economics and finance. Compendium of Computational Economics. Accessible at : https://www.econstor.eu/bitstream/10419/86441/1/05-056.pdf https://www.econstor.eu/bitstream/10419/86441/1/05-056.pdf

Brock W. A. , & Hommes C . H . ( 1998 ). Diverse convictions and pathways to turbulence in a straightforward asset valuation framework. Periodical of Economic Dynamics and Regulation .

Duffie D. , & Epstein L . G . ( 1992 ). Asset pricing with stochastic differential utility. The Review of Financial Studies. Available at : https://people.bu.edu/lepstein/files-research/DuffieEpst-RFS1992.pdf https://people.bu.edu/lepstein/files-research/DuffieEpst-RFS1992.pdf

Lettau M. , Ludvigson S. C. , & Ma S . ( 2015 ). Capital share risk and shareholder heterogeneity in US stock pricing. SSRN . Available at : https://repec.cepr.org/repec/cpr/ceprdp/DP10335.pdf https://repec.cepr.org/repec/cpr/ceprdp/DP10335.pdf

Dawson P . C . ( 2015 ). The capital asset pricing model in economic perspective. Applied Economics .

Sharpe W . F . ( 1964 ). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance. DOI: https://doi.org/10.1111/j.1540-6261.1964.tb02865.x https://doi.org/10.1111/j.1540-6261.1964.tb02865.x

Brav A. , & Constantinides G . M . ( 2002 ). Asset pricing with heterogeneous consumers and limited participation: Empirical evidence. Journal of Political Economy. Available at : https://www.nber.org/system/files/working_papers/w8822/w8822.pdf https://www.nber.org/system/files/working_papers/w8822/w8822.pdf

Cochrane J . H . ( 2009 ). Asset pricing: Revised edition. Google Books. Available at : http://edl.emi.gov.et/jspui/bitstream/123456789/69/1/Asset%20pricing%20%20by%20John%20H.%20Cochrane..pdf http://edl.emi.gov.et/jspui/bitstream/123456789/69/1/Asset%20pricing%20%20by%20John%20H.%20Cochrane..pdf

Shi J . ( 2012 ). Heterogeneous time preference and asset pricing . Journal of Management Sciences in China . https://doi.org/10.3969/j.issn.1007-9807.2012.06.003 https://doi.org/10.3969/j.issn.1007-9807.2012.06.003

Langen T . ( 2014 ). Empirical asset pricing with reference-dependent heterogeneous agents . ERN : Behavioral Finance (Microeconomics) . https://doi.org/10.2139/ssrn.2420088 https://doi.org/10.2139/ssrn.2420088

Shefrin H. ( 2008 ). A simple asset pricing model with heterogeneous beliefs . In B. Schachter (Ed.), Asset Pricing Models: Literature and Development (pp. 103 - 113 ).

Zou Y . ( 2013 ). The empirical research for the investors' heterogeneous beliefs in the Chinese stock market: Based on the EMM to the asset pricing model under the heterogeneous beliefs . Journal of Anhui University of Science and Technology . https://doi.org/10.3969/j.issn.1008-0384.2013.04.012 https://doi.org/10.3969/j.issn.1008-0384.2013.04.012

文章被引用时，请邮件提醒。

Submit

No data

Related Author

No data

Related Institution

No data

⁰