This paper proposes an asset pricing model with heterogeneous and boundedly rational agents. It shows a way how the market aggregates fundamental information and behavioral information into prices. Asset is likely to be mispriced due to the asymmetric information. The model incorporates a variety of behavioral factors, such as risk preference, investor rationality, disagreement on fundamental value and market liquidity. These factors have substantial impacts on both the equilibrium price and its stability conditions. As the findings show, the equilibrium price tends to reflect the information of the group which has low degree of rationality and high level of risk appetite. The simulations mimic the features observed in reality, such as periodic movements, chaotic dynamics and clustered volatility. The results provide potential explanations for the complex phenomena in financial markets.

本文提出了一种具有异构和有界理性代理的资产定价模型。它显示了市场如何将基本信息和行为信息汇总为价格。资产可能由于信息不对称而定价错误。该模型包含多种行为因素，例如风险偏好，投资者理性，对基本价值和市场流动性的分歧。这些因素对均衡价格及其稳定条件都具有实质性影响。结果表明，均衡价格倾向于反映理性程度低，风险偏好高的群体的信息。这些模拟模仿了现实中观察到的特征，例如周期性运动，混沌动力学和聚集的波动性。