非对称信息证券交易的跨期动态博弈均衡解析

Analysis on the Two-Period Dynamic Game Equilibrium of the Security Trade Subject to the Asymmetric Information

揭示了不对称信息条件下证券市场均衡的基本特征.Grossman和Stiglitz模型依据不知情交易者的弱理性,解析了证券交易的静态均衡状态.O'Hara模型增强了不知情交易者的理性,强调了市场均衡时的风险定价,但其命题的成立条件是相互矛盾的.认为不知情交易者信息收集和处理能力的提高会使决策更为理性,证券市场的均衡本质上是交易者的动态博弈均衡.依此思路,运用不完美信息的跨期动态博弈模型解析了非对称信息条件下证券交易者的精炼贝叶斯纳什均衡.结论显示出,市场失效的主要原因是交易者之间的信息分析能力不平衡,而不是信息不对称;市场流动性的决定因素不是信息不对称风险而是知情交易者与不知情交易者所研判的无风险收益率的差别.

This paper examines the primary features of the security market equilibrium subject to asymmetric information.Grossman and Stiglitz ＇model analyzes the static equilibrium of the security trade on the basis of the weak rationality of the uninformed trader.O＇Hara＇s model is inclined to work on the risk pricing in the market equilibrium facing the more rational uniformed trader,but the conditions assuring that the propositions are tenable is incompatible.This paper argue that the higher capacity that the uninformed gather and analyze the information bring their more rational decisions,and the security market equilibrium is essentially dynamic game equilibrium.By the road,this paper analyzes deeply perfect Bayesian Nash equilibrium under the asymmetric information using the two-period dynamic game model with imperfect information.We conclude that the market ineffectiveness should be attributed to the imbalance of the information analysis capacity between the informed and the uninformed,not the asymmetric information,and the market fluidity level depends on the deference between the riskless earning ratio gained by the uninformed trader and the informed trader,not the imbalance of the information.