光滑暧昧模型下的不透明交易和管制措施研究

本文假定透明交易者对额外投资机会回报率的标准差(方差,投资风险)存在暧昧,这种认知暧昧性抑制了透明交易者的投资行为,会导致风险资产溢价过高及社会福利损失.透明交易者是暧昧厌恶的投资者,其投资决策依据光滑暧昧厌恶模型,需求函数呈现连续且光滑的特征.而不透明交易者,通过支付一定的信息获取成本获得私有信息而具有信息优势,他们是标准的风险厌恶的投资者.通过构建理性预期均衡,本文的研究发现:初始资产严格为正的透明交易者将获得严格为正的超额收益;提高信息获取成本将减少不透明交易者的比例,从而增加风险资产溢价,降低福利水平,因而不是一项好的管制措施;而旨在提高市场透明度降低交易者暧昧性的举措总有利于提高福利水平.

Studies on opaque trading and regulations under smooth ambiguity model

This paper assumes transparent traders are ambiguous about the standard deviation (variance,or investment risk) of the returns of the extra investment opportunities.This ambiguity restraints transparent traders' investment decisions,and may lead to a higher equity premium and a loss of social welfare.Due to ambiguity aversion,transparent traders make decisions by adopting smooth ambiguity aversion model.Their demand function manifests continuous and smooth features.While,opaque traders having information advantage after paying information acquisition cost are standard risk averse investors.From the Rational Expectation Equilibrium (REE),our analysis shows that: opaque traders appear to generate strictly positive excess returns if only their net wealth is strictly positive;increasing information acquisition cost is not a good policy since it decreases the fraction of sophisticated traders,increases equity premium,and decreases welfare;regulation policy aiming to reduce ambiguity by improving the market transparency always increases the welfare.