暧昧环境下的资产定价和市场透明度研究

发布时间：2018-04-01 07:13

  本文选题：暧昧　切入点：回报率标准差　出处：《东岳论丛》2017年06期

【摘要】：由于金融市场中投资者之间存在信息不对称,文中假设处于信息劣势的透明交易者对额外投资机会回报率的标准差(方差,投资风险)存在暧昧(ambiguity),这种暧昧性抑制了他们的投资行为,可能导致风险资产溢价过高,对金融市场产生不利影响。透明交易者是暧昧厌恶的投资者,依据最大最小期望效用理论做出决策,其需求函数呈现出分段连续特征(连续但不光滑)。而不透明交易者,通过支付一定的信息获取成本从而获得关于金融市场的私有信息,其决策依据标准的期望效用理论。通过构建市场出清条件下的理性预期均衡,本文研究发现:提高市场透明度,降低了风险资产溢价,有助于提高资产的定价效率。
[Abstract]:Because of the information asymmetry among investors in the financial market, the paper assumes that transparent traders who are in the information disadvantage have standard deviation (variance) of the return on the extra investment opportunity. Investment risk) there is ambiguity, which suppresses their investment behavior and can lead to an excessive premium on risk assets, with adverse effects on financial markets. Transparent traders are ambiguous and loathing investors. According to the theory of maximum and minimum expected utility, the demand function presents a piecewise continuous feature (continuous but not smooth.) the opaque trader obtains private information about the financial market by paying a certain amount of information to obtain the cost. By constructing the rational expectation equilibrium under the condition of market clearing, this paper finds that improving the market transparency and reducing the risk asset premium will help to improve the pricing efficiency of assets.
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本文编号：1694492