暧昧环境下的不对称信息更新与资产定价研究

本文假定金融市场上存在两种风险资产,其中一种风险资产存在信息更新,而另外一种资产不存在信息更新,简单投资者对两类风险资产之间的相关系数存在暧昧性(ambiguity),本文研究了这种不对称的信息更新对两类风险资产的需求函数和市场一般均衡的影响,研究发现信息更新在长期内可以降低参数暧昧性,提高定价效率;在短期内可以驱动相应的风险资产产生额外的需求,消除对应资产的有限参与现象,但是这种由信息驱动的有限参与现象的消除并不能带来定价效率的提高.同时不对称的信息更新可能导致没有信息更新的资产从共同参与均衡过渡到有限参与均衡,因此政府试图通过信息披露提高市场透明度、改善定价效率的目的只能在长期内才会实现,在短期内信息披露可能会使得资产的定价效率产生恶化.

Studies on asymmetric information updating and asset pricing in ambiguous economy

In this paper, we consider an economy with three financial assets, one risk-free asset and two risky assets (denoted by asset 1 and asset 2), and with two types of traders, naive traders and sophisticated traders. The naive traders are supposed to be uncertain about the correlation coefficient between the two risky assets. After the market begin, a signal about the future value of asset 1 is released. We investigated the impact of this asymmetric information updating on the demand function and the general equilibrium. We find that information disclosure will help the naive traders to decrease the ambiguity and thus increase the pricing efficiency in the long run, but not in the short term. Besides, asymmetric information updating may lead the equilibrium of the asset without news disclosure to transfer from a co-participation one to a limited participation one. So the intent to improve the transparency of market and the pricing efficiency by increased disclosure requirements may be accomplished only in the long run.