| Who Wants to Be Informed-Less Risk Aversion or More Risk Aversion? |
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| 引用本文： | 高健,张丽宏,宋逢明.Who Wants to Be Informed-Less Risk Aversion or More Risk Aversion?[J].清华大学学报,2011,16(1):69-73. |
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| 作者姓名： | 高健 张丽宏 宋逢明 |
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| 作者单位： | School of Economics and Management;Tsinghua University; |
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| 基金项目： | Supported by the Program for New Century Excellent Talents in University(NCET); the National Key Basic Research and Devel-opment (973) Program of China(No. 2007CB814902); the National Natural Science Foundation of China(Nos. 70671067 and71071086) |
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| 摘 要： | Information is an important issue in financial markets since information advantage leads to increased profits.This paper investigates whether those with less risk aversion or more risk aversion would like to be informed when there is private information which can be acquired for a certain cost.The CARA utility function and normal return assumptions were used to get the closed form solution of the absolute risk aversion coefficient which is indifferent to whether a person wants to be informed,which shows that the less risk aversion investor would like to be informed.The results further show that in financial markets,those people with lower risk aversion (for instance,institutional investors) are more favorable to information and price discovery of risky assets,which is consistent with intuition as well as empirical studies.
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| 关 键 词： | CARA utility information risk aversion informed trader |
Who Wants to Be Informed-Less Risk Aversion or More Risk Aversion? |
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| GAO Jian,ZHANG Lihong,SONG Fengming.Who Wants to Be Informed-Less Risk Aversion or More Risk Aversion?[J].Tsinghua Science and Technology,2011,16(1):69-73. |
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| Authors: | GAO Jian ZHANG Lihong SONG Fengming |
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| Institution: | GAO Jian,ZHANG Lihong,SONG Fengming School of Economics and Management,Tsinghua University,Beijing 100084,China |
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| Abstract: | Information is an important issue in financial markets since information advantage leads to increased profits.This paper investigates whether those with less risk aversion or more risk aversion would like to be informed when there is private information which can be acquired for a certain cost.The CARA utility function and normal return assumptions were used to get the closed form solution of the absolute risk aversion coefficient which is indifferent to whether a person wants to be informed,which shows tha... |
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| Keywords: | CARA utility information risk aversion informed trader |
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