不对称信息下的投资者行为与股市泡沫

Investor's Behavior and Security Bubble under Asymmetric Information

构建了一个三阶段泡沫模型,并运用CARA型效用模型建立了投资者效用差函数,研究了在不同泡沫阶段,投资者的风险规避度和对其他投资者卖出股票概率的推断这两个因素对投资者行为的影响.研究发现,如果某投资者本身风险规避度越大,猜测对方投资者卖出股票的概率越高,那么投资者会越倾向于卖出手中的股票.最后提出政策建议:有效控制市场中的信息披露,提高市场的有效性;加强对投资者的风险教育.

Based on related literature, this paper sets up a three-stage bubble model, namely bubble creation stage, bubble expansion stage and bubble burst stage, and establishes an investor utility difference function using the CARA-utility model. And＇then, thispaper studies the effect of the risk aversion of one investor and her inference of the probability of other investor＇s selling her own stake on investor＇s behavior during different bubble stages. It is found that, the bigger the risk aversion of an investor is, and the higher the probability of guessing the opponent＇s selling security is, the more probably the investor sells her own stake. At last, some advices are put forword, such as controlling the information disclosure effectively, and reinforcing the risk education of investors.