信息不对称、声誉与大宗交易均衡定价

Asymmetric Information,Reputation and Equilibrium Block Trade Pricing

通过建立信息不对称下的楼下、楼上市场均衡定价模型,研究交易者声誉对大宗交易均衡定价及信息不对称程度的影响。研究结果表明,高声誉的机构投资者更可能处于分离均衡中,有消息时在楼下市场交易,而受到大宗流动性冲击时在楼上交易。因此,相对低声誉的机构投资者,高声誉机构投资者楼上市场进行大宗交易所引起的信息不对称问题更小,交易价格也更优惠。在这一模型框架下,考察信息不对称环境下证券价值标准差、大宗流动性冲击规模等因素对均衡的影响,研究结果表明楼上市场价格条件及信息不对称程度与楼下市场信息不对称程度的相对变动方向是不确定的,取决于引起信息不对称程度变动的因素。

This paper established an equilibrium block trade pricing model of downstairs and upstairs market, with the focus of the effect of institutions＇ reputation on the equilibrium block trade pricing and information asymmetry degree. Our research showed that the institutional investors with high reputation were more likely in a separating equilibrium,choosing upstairs market to trade when got good news and downstairs to trade when got bad news. As a result, relative to low reputation institutional investors, high reputation institutions caused lower information asymmetry and got better execution prices when trading in upstairs. We also examined the effect on the equilibrium pricing under asymmetry information environment of the factors including standard deviation of security value, size of large liquidity shock,and some others. The research showed that the reaction of upstairs market price conditions and information asymmetry degree to the change of downstairs information asymmetry was uncertain, depending on what caused the information asymmetry to change.