基于实验经济学的信息定价效率研究

发布时间：2018-05-26 02:30

本文选题：实验研究 + 信息定价效率　；参考：《财经问题研究》2011年05期

【摘要】：本文从理论角度对不同信息结构下的市场定价效率进行比较分析,通过设置13组不同信息结构的实验来验证信息对称是否是市场有效定价的充分或必要条件,私有信息的不同含量是否会对市场定价效率产生不同的影响。研究结果显示:在理论上,定价效率最优并不在信息完全对称的市场信息结构下出现,而是当私有信息拥有者的占比达到一定比例时出现。也就是说,理论上私有信息在市场中是具备一定的定价效率的,定价效率的高低与非私有信息拥有者的占比、对交易信息的认知和理解能力等因素有关。在本文的实验中,表现为随着市场中私有信息拥有者占比的增加,市场定价效率先是提高,当达到一定极值后,信息效率又会逐渐降低,即形成一个倒U型波状走势。
[Abstract]:This paper makes a comparative analysis of the market pricing efficiency under different information structures from a theoretical point of view, and verifies whether information symmetry is a sufficient or necessary condition for effective pricing in the market by setting up 13 groups of experiments with different information structures. Whether the different content of private information will have different effects on market pricing efficiency. The results show that in theory, the optimal pricing efficiency does not occur in the market information structure with complete information symmetry, but when the proportion of private information owners reaches a certain proportion. In other words, in theory, private information has a certain pricing efficiency in the market. The pricing efficiency is related to the proportion of non-private information owners, the cognition and understanding of transaction information and other factors. In our experiment, with the increase of the proportion of private information owners in the market, the market pricing efficiency first improves, when a certain extreme value, the information efficiency will gradually decrease, that is, form an inverted U-shaped wave trend.
【作者单位】：东北财经大学金融学院/应用金融研究中心;
【分类号】：F062.5

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