本文選題：曖昧　切入點(diǎn)：回報(bào)率標(biāo)準(zhǔn)差　出處：《東岳論叢》2017年06期

【摘要】：由于金融市場中投資者之間存在信息不對(duì)稱,文中假設(shè)處于信息劣勢(shì)的透明交易者對(duì)額外投資機(jī)會(huì)回報(bào)率的標(biāo)準(zhǔn)差(方差,投資風(fēng)險(xiǎn))存在曖昧(ambiguity),這種曖昧性抑制了他們的投資行為,可能導(dǎo)致風(fēng)險(xiǎn)資產(chǎn)溢價(jià)過高,對(duì)金融市場產(chǎn)生不利影響。透明交易者是曖昧厭惡的投資者,依據(jù)最大最小期望效用理論做出決策,其需求函數(shù)呈現(xiàn)出分段連續(xù)特征(連續(xù)但不光滑)。而不透明交易者,通過支付一定的信息獲取成本從而獲得關(guān)于金融市場的私有信息,其決策依據(jù)標(biāo)準(zhǔn)的期望效用理論。通過構(gòu)建市場出清條件下的理性預(yù)期均衡,本文研究發(fā)現(xiàn):提高市場透明度,降低了風(fēng)險(xiǎn)資產(chǎn)溢價(jià),有助于提高資產(chǎn)的定價(jià)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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本文編號(hào)：1694492