参数暧昧环境下投资者决策与管制措施研究—基于随机禀赋与风险资产之间相关系数暧昧性的视角

假定全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（非全融资产收益），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．如果随机禀赋与凤险资产负相关，且凤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，或者凤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．

Investment decisions and market regulations in economy with parameter ambiguity: Based on ambiguity of correlation between stochastic endowment and risky asset

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.