有限关注、内部交易与预期收益

Limited attention,insider trading and expected returns

建立了一个内部交易者和关注交易者相互竞争的交易模型,探讨了关注度和市场竞争对预期收益的影响.通过求解当存在内部交易者和不存在内部交易者两种情况时的线性均衡,发现市场竞争程度对关注度和预期收益之间的关系起到了调节作用.当市场竞争较弱时,预期收益与关注度之间是正相关关系;当市场竞争较强时,预期收益与关注度之间是倒U型关系.市场效率与关注度之间是正相关关系.在保持市场效率不变的条件下,被排挤出的关注交易者的数量与关注度之间是负相关关系.

This paper constructs a trading model in which the insider and the attention traders compete with each other,and explores the influence of attention and market competition on the expected returns.By solving for the equilibrium situations when there is an insider or not,the paper finds that the degree of market competition moderates the relationship between attention and expected returns.When market competition is weak,the attentive traders’ expected returns are positively related with attention;when market competition is strong,the relationship between the attentive traders’ expected returns and attention shows an inverted U-shaped curve.In addition,it is also found that attention is positively related with market efficiency.When keeping the market efficiency unchanged,the number of attentive traders excluded is negatively related with attention.