阶段性信息披露和风险资产定价

Gradual Disclosure and Risky Asset Pricing

上市公司的内部人通常拥有比其他投资者更多的信息,同时他们有义务把所知道的信息透露给投资者。但是在现实的金融市场中,信息披露者通常会采取对其最有利的信息披露方式。不同于以往的信息披露模型,我们假定内部人所披露的信息必须是正确而且全面的,但他们可以在一定程度内调整信息披露的时机。本文研究了这种情形下的资产均衡价格,并且分析了其经济含义以及在金融监管方面的实践意义。

The insiders of public company who have more information about the company than other investors should disclose their information to all the investors, and they will disclose their information in the interest of themselves. Different from the early models, we assume the information that the insiders disclosed should be correct and full. In the same time, we assume that the insiders can disclose the information during a certain time period. This paper derived the equilibrium price of risk asset in this setting.