中文摘要：

本文构建了一个随机估值模型，在此基础上运用面板数据方法对A股市场的资产定价泡沫水平和成因进行了研究，获得了如下研究结论：首先，A股市场中估值泡沫和投机泡沫并存。其次，卖空约束导致的定价偏差是定价泡沫的成因之一。第三，异质信念和不对称信息与泡沫水平正相关，过度自信与泡沫水平负相关。第四，重要流通股股东的信息优势与交易中的不对称信息无协同效应。最后，若卖空约束不存在，观察不到损失厌恶对泡沫的影响。

英文摘要：

Based on stochastic valuation model, the paper studies the level and reason of A-stock market assets bubbles by panel data and obtains some conclusions. Firstly, there exist valuation bubbles and speculative bub- bles in the market under short-sale constraint. Secondly, mispricing caused by short-sale constraint is one of the causes of the pricing bubbles. Thirdly, heterogeneous beliefs and asymmetric information are positive correlation to bubbles, but overconfidence is negative. Fourthly, there does not exit synergistic effect between information advantage of important shareholders and asymmetric information in trade. At last, the authors cannot observe the influence of loss aversion when short-sale constraint does not exit.