中文摘要：

沿用基于消费的资产定价模型设定，将行为金融领域中离散时间框架下的情绪资产定价模型拓展到连续时间框架下，把异质性纳入Lucas纯交换经济体，构建了一个含有异质性投资者的动态情绪资产定价模型，并使用中央计划者问题求解出异质均衡．通过加入投资者情绪因子，本文得到情绪投资者的主观股利增长率，并将其用于动态异质情绪资产定价模型的框架中，以此刻画理性投资者和情绪投资者的异质性，研究结果表明投资者情绪是影响收益的重要因子．数值算例与敏感性分析表明投资者关于股利信息的错误预期将会导致横截面股价漂移率增大．

英文摘要：

This paper extends the discrete time sentiment asset pricing model to the continuous time setting using the consumption based pricing model. By incorporating heterogeneity in Lucas＇ s pure exchange economy, a dynamic sentiment asset pricing model for heterogeneous investors is established, and a central planning problem is studied. The investors＇ subjective drift rate of the stock price is derived by considering the sentiment factors, and then used in a dynamic asset pricing problem for heterogeneous investors to portray the differences between rational investors and sentiment investors. Contrary to the conventional wisdom that equilibrium stock price is not affected by investors＇ sentiment, this paper finds that investors＇ sentiment has a significant impact on the equilibrium stock price. Numerical examples and sensitivity analyses show that false expectation will lead to an increase in the drift rate of the stock price.