光滑暧昧模型下的不透明交易和管制措施研究

发布时间：2018-04-15 17:02

本文选题：回报率标准差 + 信息不对称　；参考：《管理科学学报》2017年02期

【摘要】：本文假定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,这种认知暧昧性抑制了透明交易者的投资行为,会导致风险资产溢价过高及社会福利损失.透明交易者是暧昧厌恶的投资者,其投资决策依据光滑暧昧厌恶模型,需求函数呈现连续且光滑的特征.而不透明交易者,通过支付一定的信息获取成本获得私有信息而具有信息优势,他们是标准的风险厌恶的投资者.通过构建理性预期均衡,本文的研究发现:初始资产严格为正的透明交易者将获得严格为正的超额收益;提高信息获取成本将减少不透明交易者的比例,从而增加风险资产溢价,降低福利水平,因而不是一项好的管制措施;而旨在提高市场透明度降低交易者暧昧性的举措总有利于提高福利水平.
[Abstract]:This paper assumes that transparent traders have ambiguity about the standard deviation (variance, investment risk) of return on additional investment opportunities, which inhibits the investment behavior of transparent traders and leads to excessive premium of risk assets and loss of social welfare.Transparent traders are ambiguous loathing investors whose investment decisions are based on the smooth ambiguous aversion model and the demand function is continuous and smooth.Opaque traders, who are standard risk-averse investors, have information advantages by paying a certain amount of information to obtain private information.By constructing rational expectation equilibrium, this paper finds that transparent traders with strict positive initial assets will obtain strictly positive excess returns, and increasing the cost of obtaining information will reduce the proportion of opaque traders.Therefore, it is not a good control measure to increase the premium of risk assets and reduce the level of welfare, and the measures aimed at increasing market transparency and reducing the ambiguity of traders are always helpful to raise the level of welfare.
【作者单位】：中国人民大学财政金融学院;
【基金】：中国人民大学重大基础研究计划资助项目(14XNL001)
【分类号】：F830.9

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