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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。
Due to the asymmetric information among investors in financial markets, the assumption that transparent traders with information weakness have ambiguity on the standard deviation (variance, investment risk) of the rate of return of extra investment opportunities has dampened their ambivalence Of the investment behavior, may lead to high premium risk assets, adversely affect the financial markets. Transparent traders are ambiguous investors who make decisions according to the theory of maximum and minimum expected utility, and their demand functions show continuous characteristics (continuous but not smooth). The opaque traders, by paying some information to obtain the cost of access to information on the financial markets of private information, the decision-making criteria based on the expected utility theory. By constructing a rational expectation equilibrium under the conditions of market clearing, this study finds that: improving market transparency, reducing risk asset premium and helping to improve asset pricing efficiency.