奈特不确定性下的资产及其组合的惰性区间

The Inertia Interval of Asset and Its' Portfolio under the Knight Uncertainty

不确定性是证券市场的基本特征之一,是资产定价和投资者交易行为等研究的主要内容。标准期望效用理论认为投资者具有唯一的资产执行价格,当市场价格高于执行价格时,投资者出售资产;反之,则会购进。然而,源于不确定性的存在,资产的均衡价格或交易价格并非某一确定值而是某一区间;在此区间内,投资者无交易行为,我们称之为资产的惰性区间。本文假定投资者是不确定性规避型,基于可行域上的容度,引入测度奈特不确定性程度的等级参数,研究奈特不确定性下的资产及其组合的惰性区间。基于容度期望效用模型,利用容度代替概率测度表征投资者预期效用,提出奈特不确定性下投资者决策行为的偏好表达式;基于对偶测度构建资产交易的惰性区间,分析奈特不确定性程度与惰性区间的关系;最后,基于Black-Scholes期权定价模型,选择存续期为2008年10月-2011年8月的江铜认购权证和长虹认购权证为研究对象,以其单资产及不同比例资产组合的日收益数据为样本予以实证。结果表明:随着奈特不确定性程度的不断增强(减弱),资产及其组合的惰性区间不断扩大(缩小),市场流动性随之下降(上升);随着奈特不确定性程度的增强,高价格、高波动率的资产及其组合的惰性区间变化更为明显;在适度的奈特不确定性程度范围内,高波动率的资产及其组合的交易相对活跃。研究解释了证券市场上的"非市场参与"之谜和"特质波动率"之谜,说明了证券市场上的"有限市场参与"特征,为资产定价与市场流动性关系的研究提供了参考。

Uncertainty is the basic characteristic of security market,and is the main content of asset pricing and investor's trading behavior.The standard expected utility theory shows that an investor has the unique striking price,the market price above which,she is willing to sell;conversely,she is willing to buy.However,due to the existing of uncertainty,asset's equilibrium price or trading price is not a certain value,but is an interval;an investor has no trading behavior within the interval,which is defined as asset's inertia interval.Assuming that the investor is Knight uncertainty aversion,agrade parameter is introduced to measure the degree of Knight uncertainty and the inertia interval of asset and its' portfolio is studied based on the capacity of the feasible region.Based on the model of capacity expected utility(CEU),the preference expression of investor's decision behavior under Knight uncertainty is given by using the capacity instead of the probability measure.Based on the conjugate measure,the inertia interval of asset trading is constructed and the relationship between the degree of Knight uncertainty and the inertia interval is analyzed.At last,based on the model of Black-Scholes option pricing,Jiangtong and Changhong call warrants are selected as the research objects,whose date range is from October 2008 to August 2011,and an empirical study is done based on the daily return of its' underlying asset and different proportion portfolio.Results show that,with the increasing(decreasing)of the degree of Knight uncertainty,the inertia interval of asset and its portfolio expands(shrinks),which results in the declining(rising)of the market liquidity;with the increasing of the degree of Knight uncertainty,the changing of inertia interval is more obvious for the asset and its' portfolio with high price and high volatility;within the moderate rang of Knightian uncertainty,the trading is relatively active for the asset and its' portfolio with high volatility.In the study the puzzles of ' non-market participation' and 'the idiosyncratic volatility' in the security market are explained,the characteristic of 'limited market participation' in the security market is demonstrated,and evidence is provided for the study on the relationship between asset pricing and market liquidity.