信息结构与资产价格泡沫研究——基于经济学实验方法

The Impact of Asymmetric and Public Information on Pricing Bubbles in Experimental Asset Markets

本文使用实验经济学方法研究了资产价值相关信息的分布结构对资产价格泡沫的影响。设定了无信息、公共信息和私有信息等三种信息结构的实验结果表明,资产泡沫的大小及动态变化在不同信息结构下存在显著差异:(1)当交易者市场经验较少时,无信息和公共信息的市场上泡沫较大,而私有信息的市场上泡沫最小;(2)随着交易经验的增加,无信息和公共信息的市场上泡沫大幅降低,私有信息市场的泡沫水平在三种信息结构中变得最大。信息结构和交易者经验共同影响泡沫的规模和动态变化。

We examine how the nature of fundamental-value-relevant information impacts the formation of speculative price bubbles in a series of controlled laboratory asset market. In the market for a simple contingent claim asset we consider three information treatments; No Information in which subjects only trade with common prior information, Public Information in which subjects trade while there is a sequence of informative public signals, and Private Information in which each of these signals is distributed to an insider. We find a clear ranking of the size of bubble formation for given experience level of the participants, with bubble most prevalent in the No Information treatment when participants are inexperienced, while it becomes biggest in the Private Information treatment when participants become more experienced. Information structure and the traders experience both affect the size and dynamics of bubbles.