相关系数暧昧环境下金融市场有限参与与不对称信息

This proposal investigates the implications of ambiguity of correlation coefficient between risky assets for investors’ decision making and limited participation under market equilibrium. In our multi-asset model, there exist four types of investors (inside investors, sophisticated investors, naïve investors and noise investors) and individuals’ decision making incorporates both risk and ambiguity. The properties of ambiguous investors’ demand functions are listed: the ambiguous investor’s demand function is continuous in price but has kinks at several prices; the non-participation phenomenon for ambiguous investors can be observed; the ambiguous investor’s decision about whether to hold assets is independent of the set of correlation coefficients the investor believes possible as discrete or continuous; the inside and ambiguous investors trade in the same direction, the sophisticated and naïve investors trade in the same direction, and the ambiguous and noise investors trade in the same direction. We demonstrate that limited participation arises from the rational decision by ambiguous investors to avoid correlation ambiguity, and solve equilibrium pricing rule. There exist seven types of equilibria (a participating one in both assets for ambiguous and noise investors, two non-participating ones in one asset for noise investors, two non-participating ones in one asset for naïve and noise investors, and two non-participating ones for ambiguous and noise investors) in which the equilibrium types depend upon the range of quality ratio for the two risky assets. In the seven types of equilibria, the risky asset with low quality will generate positive excess returns, while the asset with high quality will generate negative excess returns. Comparative static analysis of the equilibrium result suggests that changes in the ambiguous level for ambiguous investors and the fraction of three types of investors can alter equilibrium types and affect equilibrium prices. We also observe flight to quality phenomenon.

本项目考察风险资产之间相关系数暧昧性在投资者行为和资产定价中的作用。模型设定四类投资者，即内部型投资者、复杂型投资者、天真型投资者与噪音型投资者，个人的决策同时结合风险和暧昧。暧昧型投资者的需求曲线显示三个特征：暧昧型投资者规避暧昧性的理性决策导致他们不参与风险资产投资；暧昧型投资者的需求曲线是连续的，并且在某些价格上存在尖点；四类投资者之间具有相同的交易方向。由此导出有限参与源自暧昧型投资者与噪音型投资者为规避相关性暧昧的理性决策，并且求解一般经济均衡定价规则。经济均衡的类型由资产质量的取值范围确定，根据资产质量的高低存在七类均衡(包括投资者的完全参与均衡与部分参与均衡等)，进而说明有限参与现象。在七类均衡状态，低质量的资产反而会产生正向超额收益。投资者会转移投资到高质量资产，市场中暧昧型投资者相关性暧昧程度变化会改变均衡的类型，暧昧型投资者与噪音型投资者比例变化也会改变均衡的类型。

[1]在Huang, Zhang and Zhu (2017)的基础上从多个方面进行延拓：将两类投资者---即内部型投资者与天真型投资者增加一类投资者(复杂型投资者或者噪音型投资者)至三类投资者，进而增加这两类投资者至四类投资者，在这些情形考察均衡定价与有限参与问题，说明暧昧型投资者对相关系数暧昧性认知不同导致有限参与现象，强调不完全信息的作用，信息的揭示过程在均衡定价作用，信息对投资行为的影响。[2]对于四类投资者，我们研究多种资产之间(相同)相关系数暧昧性下的有限参与现象，修正Jiang and Tian (2016)的错误。相关系数暧昧性在“向质量转移”的发生中起着重要作用，而“向质量转移”又反过来导致投资组合多样化。[3] Easley and O’Hara (2009, 2010)认为暧昧型投资者对资产的矩认知不同(假设资产之间相互独立)导致有限参与现象，Huang, Zhang and Zhu (2017)认为暧昧型投资者对相关系数暧昧性认知不同是导致有限参与现象的内生原因，我们讨论发现投资者的主观信念扭曲函数可能导致有限参与现象，未必需要暧昧环境。个人对客观概率的态度如何改变其交易行为，我们采用预期效用和Wang变换相结合的方法，在暧昧的背景下模拟市场参与者的福利。假设市场上存在不同类型的谨慎交易者，他们的信息不同。我们发现，交易者可能会限制他们的参与，即使没有暧昧性；他们的谨慎态度促使他们谨慎地交易风险资产。在均衡中也发现了“追逐数量”现象。[4]将论文Huang, Zhang and Zhu (2017)朝两个方面扩展：一是从市场微观结构的视角考虑投资者行为、资产定价与发行者的市场选择，研究投资者行为的相关系数暧昧性对资产定价和发行人上市选择的影响；二是研究暧昧性对资产定价与整体福利的影响。[5]我们在Huang, Zhang and Zhu (2017)的基础上引入作市商的市场能力或者定价能力如何影响暧昧型投资者的市场参与决策，我们引进王变换(Wang Transform)作为投资者的主观信念扭曲函数不同类型结果投资者对市场有限参与现象的影响。

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