有限关注、内生性学习与期望收益

Limited Attention,Endogenous Learning and Expected Return

把知情交易者分为内部交易者和外部市场中的信息关注交易者,两类交易者之间的信息不对称产生内生性学习。通过建立一个同时考虑有限关注和内生性学习的动态交易模型,解释关注度和内生性学习是如何共同影响期望收益的。研究表明:私人信息和历史价格揭示的公开信息对于交易策略的选择具有替代作用;内部交易者的期望收益总是随着关注度的增大小幅增大然后逐渐降低;在交易初期,信息关注交易者的期望收益随关注度的增大呈倒U型变化,而在交易末期,信息关注交易者的期望收益随关注度的增大而增大。

In this paper,informed traders are divided into insider traders and attentive traders.The information asymmetry between the two types of traders entails endogenous learning.Limited attention and endogenous learning behavior are introduced into the theoretical framework of dynamic trading.We explain how attention and learning behavior affect expected return by using the discrete-time model.The research shows that private information and the public information revealed by price have a substitution effect on the choice of trading strategy.At any stage,the expected return of insiders increases slightly with attention at first and then gradually diminishes.The expected return of attentive traders shows an inverted U-shaped change with attention at the beginning of trading and a linear change with attention at the end of trading.