We construct a incomplete information equilibrium model with heterogeneous beliefs and herding behaviors to identify their joint effects on the dynamics of asset prices. Herding behaviors make investors revise some of their estimations about expected growth rates of goods streams toward to the other one’s by a manner of weighted average of their own forecast and the other’s. As we expected, herding behaviors generate influences on the Radon Nikodym derivative, that is so-called “sentiment” as in Dumas et al. (2009), and in turn not only impact the dynamics of asset prices but also generate influences on investors’ survivals. We also show that introducing heterogeneous beliefs with herding behaviors permits to explain both the Backus–Smith puzzle and the mixed results about the influences of herding behaviors on asset prices. Moreover, we uncover that herding behaviors have positive influences on stocks’ risk premiums.

我们构建了一个具有异质信念和羊群行为的不完全信息均衡模型，以确定它们对资产价格动态的共同影响。羊群行为使投资者以自己和他人的预测的加权平均值的方式修改了他们对向另一方的预期货物流的预期增长率的一些估计。正如我们预期的那样，羊群行为会对Radon Nikodym衍生物产生影响，如Dumas等人所述，即所谓的“情感”。（2009年），反过来不仅会影响资产价格的动态，还会对投资者的生存产生影响。我们还表明，引入具有羊群行为的异质信念可以解释Backus-Smith难题和关于羊群行为对资产价格影响的混合结果。而且，