信息不确定性情况下投资者对资产定价的影响因素探析被引量：2

下载PDF

导出

摘要未来的信息分为两种情况,一种是未来信息的风险是确定的,称为风险情况,另一种是未来信息的风险是不确定的,称为不确定性情况,不确定性情况下的风险质量要更加的差。本文通过加入信息变量,来描述投资者对未来信息的不确定性的一种态度,将这种信息变量加入到风险因素中,在股利折现模型的基础上推导出不确定性情况下的信息与资产价格的关系,得到新的资产定价公式,最后通过研究"5.12"汶川地震这一信息对四川长虹股票价格的影响来对模型进行实证检验。

作者张多艺何婷婷谢安龙倪俊波

机构地区中国人民大学财政金融学院

出处《商业时代》北大核心 2011年第22期64-65,共2页 Commercial

关键词信息不确定性信息质量资产定价

分类号 F830 [经济管理—金融学]

引文网络
相关文献

参考文献8

1Pietro Veronesi.How does informa- tion quality affect stock returns.The Journal of Finance 55, 2000.
2Larry G. Epstein, Learning under ambiguity.Review of Economic Studies 74, 2007.
3Larry G. Epstein and Martin Schneider.Ambiguity.information quality and asset pricing.The Journal of Finance 63, 2008.
4HengJie Ai.lnformation quality and long-run risk: Asset pricing implications. The Journal of Finance 65, 2010.
5Robert C. Merton.A simple model of capital market equilibrium with incom- dlece informatioh The Journal of Finance 42, 1986.
6Robert E Lucas,Jr.Aeset prices in an.xchange economy.Econometrica 46, 1978.
7Larry G. Epstein and Martin Schneider.P, ecursive multiple-priors.Jour- nal of Economic Theory 113, 2003.
8郭文旌.跳跃扩散股价的最优投资组合选择[J].控制理论与应用,2005,22(2):171-176. 被引量：19

二级参考文献16

1MERTON R C. Optimum consumption and portfolio rules in a continuous time model [ J]. J of Economic Theory, 1971,3( 12): 373 -413.
2COX J C, HUANG C F. Optimal consumption and portfolio policies when asset prices follow a diffusion process [ J]. J of Economic Theory, 1989,49(1) :33 - 83.
3ZHOU X Y, LID. Continuous-time mean-variance portfolio selection: a stochastic LQ framework [ J]. Applied Mathematics and Optimization ,2000,42( 1 ): 19 - 33.
4LIM A, ZHOU X Y. Mean-variance portfolio selection with random parameters in a complete market [J] .Mathematics of Operations Research,2002,27(1): 101 - 120.
5LI X, ZHOU X Y, LIMA. Dynamic mean-variance portfolio selection with no-shorting constraints [J]. SIMA J of Control and Optimization ,2002,40(5): 1540 - 1555.
6PLISKA S R.A stochastic calculus model of continuous trading optimal portfolio [ J ]. Mathematics of Operations Research, 1986,11 ( 2 ):371 - 382.
7MERTON R C. Option pricing when underlying stock returns are discontinuous [ J ]. J of Financial Economics, 1976,3 ( 1 ): 125 - 144.
8JARROW R A,RUDD A. Option Pricing[M] .Illinois:Irwin,1983.
9JONES E P. Option arbitrage and strategy with large price changes [J]. J of Financial Economics, 1984,13( 1 ): 91 - 113.
10JEANBLANCE-PICQUE M, PONTIER M. Optimal portfolio for a small investor in a market model with discontinuous prices [ J]. Applied Mathematics and Optimization, 1990,22(2) :287 - 310.