摘要
本文在投资者有限理性以及信息不对称的情形下建立了投资者异质的资产市场一般模型,当投资者获得相同信息时,模型反映了投资者异质对市场均衡的影响;当投资者同质时,模型反映了信息不对称对市场均衡的影响。研究发现市场中的投资者异质程度、信息不对称、信息成本等因素影响资产市场中的动态均衡资产价格。
This paper investigates a general asset pricing model with boundedly irrational heterogeneous in- vestors and information asymmetry. We present the impacts of investor heterogeneity on market equilibrium with common public information and that of information asymmetry on market equilibrium with investor homogeneity. It is found that the extent to which investors are heterogeneous, information asymmetry and information cost influence the equilibrium asset price dynamics.
作者
金华
宋殿宇
刘善存
JIN Hua SONGDian-yu LIUShan-cun(School of Economics and Management, Beihang University, Beijing 100191,China Jiaotong Bank Asset Management Center, Shanghai 200120, China)
出处
《广义虚拟经济研究》
2016年第4期49-56,共8页
Research on the Generalized Virtual Economy
关键词
投资者异质
信息不对称
资产市场均衡
investor heterogeneity, information asymmetry, asset market equilibrium
