Abstract

Based on the noise trading theory, proposed modifier DVI formula, development CAPM and BAPM, to carry on a empirical study to Chinese stock market noise trading risk premium. Arrive at following conclusions, the behavioral portfolio yield show significant peak skewed distribution, China stock market exist remarkable noise trader risk and risk premium, between noise trader risk and risk premium has the significant asymmetry, and stock price clear upward trend in bull market is Chinese noise trader obtains the risk premium income the important premise.

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