摘要
假定金融市场中简单投资者具有暧昧厌恶偏好,在期末获得1个单位随机禀赋(非金融资产收益),而当前时刻他们对随机禀赋与风险资产未来收益之间的相关系数存在暧昧性,考察这种暧昧性对资产定价和社会福利的影响.研究表明:相关系数暧昧性将导致投资者有限参与和资产定价扭曲•如果随机禀赋与风险资产负相关,且风险资产权益溢价为正,则简单投资者的超额收益为正;如果不相关,或者风险资产权益溢价为零,则简单投资者无法获得超额收益;其它情况下简单投资者的超额收益为负.为缓解参数暧昧性,提高投资者参与市场的积极性,市场管理者可能实施提高复杂投资者的准入门槛、增强信息披露等管制措施.进一步研究发现,提高复杂投资者的准入门槛将减少其投资者占比,降低社会福利水平;而加强信息披露,提高市场透明度的措施可以提高社会福利水平.
The paper assumes that naive investors in financial markets are ambiguity averse,and that they will obtain stochastic endowments(non-financial asset profits)at the end of the term and are currently ambiguous about the correlation coefficient between stochastic endowment and the payment of a risky asset.The effects of correlation ambiguity on asset pricing and aggregate social welfare are investigated.Our results demonstrate that correlation ambiguity might lead to limited participation and distortion of asset pricing.If the correlation coefficient is negative,and equity premium is positive,naive investors will obtain positive excess returns.If there is no correlation,or no equity premium,they cannot obtain excess return.And under other conditions they will obtain negative excess return.The regulators might implement policies,such as increasing the registration costs for sophisticated or strengthening disclosure requirements,to mitigate the ambiguity and improve participation.Further studies show that increasing registration costs will reduce the fraction of sophisticated investors and decrease the social welfare;whereas strengthening the disclosure requirements and market transparency can increase the aggregate social welfare.
作者
何俊勇
郭荣怡
张顺明
石丽娜
HE Jun-yong;GUO Rong-yi;ZHANG Shun-ming;SHI Li-na(School of Economics,Beijing International Studies University,Beijing 100024,China;Huaxia Bank Post-doctoral Scientific Research Workstation,Beijing 100005,China;School of Finance,Renmin University of China,Beijing 100872,China;School of Economics and Management,Beihang University,Beijing 100191,China)
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2020年第10期1-20,共20页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71573220,71773123)
北京第二外国语学院首都对外文化贸易基地科研资助项目(WHMY19A001).
关键词
相关系数暧昧性
暧昧厌恶
资产定价
社会福利水平
ambiguity of correlation
ambiguity aversion
asset pricing
aggregate social welfare
