事件风险、有限参与和资产价格重估--基于搜寻理论的一个竞争性均衡模型

Event Risk,Limited Participation and Revaluation of Asset Price——A Competitive Model Based on Search Theory

本文通过对资本市场中资产供求双方的行为分析,构建了一个基于搜寻理论的竞争性均衡模型。由于资产供求双方行动的先后顺序差异,事件风险的存在导致了投资者的有限参与,进而导致资产价格下跌;当资产供给者(例如"大小非")参与市场时,事件风险的存在也会导致其有限参与市场,进而使资产的实际有效供给减少。最终的结果就是:资产供求关系的变化将会引发资产价格的重估。

Based on the analysis of the asset supply and demand in capital market,this paper built a competitive equilibrium model based on the search theory. Because of the sequence of action difference between the two sides ,the event risk resulted of the limited participation of investors,which led to the fall in asset prices;when asset providers（such as the ＂Big＂ and ＂small＂ non-tradable share） participated in the market,the event risk also led to its limited participation in the market,which led to reduction of the effective supply of assets,therefore the supply and demand changes could trigger a revaluation of asset price.