暧昧与部分知情交易的资产定价

Ambiguity and asset prices with incompletely informed trading

通过区分交易商的知情程度,本文引入了部分知情交易商,构建了暧昧环境中存在部分知情交易商的理性预期均衡模型,并在此基础上分析抑制内幕交易的措施对资产定价和福利水平的影响.研究结果表明:存在部分知情交易的金融市场上存在理性预期均衡,且相应的交易商分布均衡不唯一;差异系数的变化将引起完全知情交易商和不知情交易商的比例都发生同向变动,而完全知情交易商的表现最为敏感.同时还发现,转变成本的增加虽然能够抑制内幕交易,但福利水平也会下降;然而,通过降低差异系数虽不能明显抑制内幕交易,但可以减少极端交易;不知情交易商面临暧昧程度的下降也会起到抑制知情交易商的作用,同时有可能提高福利水平.

With the introduction of a new type of traders,incompletely informed traders,the paper develops a model of rational expectation equilibrium to analyze how regulations affect asset prices and welfare. It is found that rational expectation equilibrium exists in the financial market and that the corresponding traders’ distribution equilibrium is not unique. If the discrimination coefficient changes,the fraction of both completely informed traders and uninformed traders would change in the same direction,with completely informed traders being the most sensitive to the change. The paper also shows that increasing the switching cost would decrease the fraction of informed traders,but the welfare would decrease. Two interesting results are found: Although decreasing the level of ambiguity faced by incompletely informed traders cannot restrain insider trading,extreme trading would be decreased sharply;decreasing the level of ambiguity faced by uninformed traders not only decrease the fraction of completely informed traders,but also may improve the level of welfare.