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題名 多期理性預期模型下價格資訊性之研究
Informativeness of Prices in Multi-period Rational Expections Model作者 連春紅
Lien, Ch`un-Hung貢獻者 胡聯國
Hu, Lien-Kuo
連春紅
Lien, Ch`un-Hung關鍵詞 資訊性
理性預期
消息靈通者
訊息不對稱
Informativeness
Asymmetric Information
Rational Expectation
Informed日期 1994
1993上傳時間 29-Apr-2016 15:17:24 (UTC+8) 摘要 在充滿不確定性之交易市場中，每位交易者會盡量利用所擁有之資訊，在市場有干擾（如，風險性資產供給之不確定性、個人偏好不同、個人面對之稅負環境不同等）之情形下，市場會顯露出部份私人訊息，故交易者亦會經由對價格和交易量之觀察習得訊息；擁有私人訊息之交易者稱為消息靈通者(Informed)，未擁有私人訊息而只能經由觀察價格而習(learn )得 訊息之交易者稱為消息不靈通者(Uninformed)，他們二者之差異在於他們是否願花成本或資源以購買訊息。本文係在干擾理性預期模型下，利用所設定之特殊效用函數--絕對風險規避效用函數及假設隨機變數為多元常態分配，探討市場有干擾情形下，在第一期有私人訊息而在第二期有公開訊息揭露之不對稱訊息模型中價格之資訊性，分別分析了公告訊息和私人訊 息之干擾程度、風險性資產供給之不確定及購買訊息人數對二期價格資訊性之影響。在所設定的模型有解下，本文利用這些影響因素對公告訊息和私人訊息在總合需求計劃部位 (Position)的彈性說明二期價格資訊性。同時文中亦探討購買訊息人數之內生決定，顯示了公告訊息之揭露會修正交易者之看法而減少私人蒐集訊息之誘因。 參考文獻 [1] 郭照榮,"金融市塌訊息的公開揭露與配置",政大經研所未出版之博士論文(民81年) [2] 翁霓,"雜訊交易對股價行為影響之研究",政大企研所未出版之碩士論文(民82年) [3] 林宜勉,"差別訊息下證券價格和交易量之研究",臺大商研所未出版之博士論文，", (民83年) [4J Aclmati,A.R. " A Noisey Rational Expections Equilibrium for Multi- Asset Securities Markets." Econometrica 53 (May) (1985):629- 657 [5] Aclamti,A .R.& P.Pfteiderer"Viable Allocation of Information in Financial Markets.".Journal of Economic Theory 43 (1987):76-115 [6] Diamoncl,D.\\•V.`;Optimal Release of Information By Firms." The Journal of Finance 4 (1985):1071-1094 [7] Diamoncl,D. W.& Verrecchia,R.E. "Information Aggregation in a Noisy Rational Expections Economiy." Journal of Financial Economics 9 (September 1981) :221-235 [8] Grossman,S.J." On The Efficiency of Competitive Stock Markets Where Traders Have Diverse Information." Journal of Finance 31 (May 1976):573-585 [9] Grossman,S.J.& Stiglitz,J. E." On The Impossibility of Informationally Efficient Markets." America Economic Review 70 (1980):393-408 [10] Hellwig,M.F."On The Aggregation of Information in Competitive Markets.".Journal of Economic Theory 22(19S0):4T7-498 [11] Hellwig,M.F."Ration Expections Equilibrium With Conditioning on Past Prices:A [dean-Variance Example." Journal of Economic Theory 26(1982):279-312 [12] Foster,F.D.& Viswanathan,S. “The Effect Of Public Information and Competition On Trading Volum and Volatility." The Review of Financial Studies 6( 1993)23-,56 [13] Grundy,B.D.& McNichols ,M."Trade and Revelation of Information Through Prices and Direct Disclosure. " Review of Financial Studies 2(1989):495-.526 [H] Holthausen,R. W.& Verrecchia,R.E. "The Effect of Sequential Information Release on the Variance of Price Change in an Informational Multi-Asset Market.•` Journal of Accounting Research 26(Spring 1988):82-106 [15] Kim,O .& Verrecchia,R.E."Trading Volume and Price Reaction to Public Announcements.:` Journal of Accounting Research 29 (Autumn 1991)302-321 [16] Lang,L.H.,Litzenberger,R.H.& Madrigal,V."Testing Financial Market Equilibrium under Asymmetric Information." Journal of Political Economy 100(1992):317- 348 [17J Lundholm,R.J." Price--Singal Relations in the Presence of Correlated Public and Private Information ." Journal of Accounting Research 26(Spring 1988):107-118 [18] Verrecchia,R.E."On the Relationship Between Volume Reaction Consensus of Investors:lmplication for Interpreting Tests of InformationContent." Journal of Accounting Research 19 (Spring 1981):271-283 [19] Verrecchia,R. E. " Information Aquisition in a Noisy Ratioal Expectations economy." Econometrica 50(1982):1415-1430 [20] Johnson,R.A.& Wichern,D.vV." Applied Multivariate Statistical Analysis. "3rd eclition,A Simon & Schaster Company, Englewood Cliffs,New Jersey. 描述 碩士
國立政治大學
國際經營與貿易學系
81351011資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003778 資料類型 thesis dc.contributor.advisor 胡聯國 zh_TW dc.contributor.advisor Hu, Lien-Kuo en_US dc.contributor.author (Authors) 連春紅 zh_TW dc.contributor.author (Authors) Lien, Ch`un-Hung en_US dc.creator (作者) 連春紅 zh_TW dc.creator (作者) Lien, Ch`un-Hung en_US dc.date (日期) 1994 en_US dc.date (日期) 1993 en_US dc.date.accessioned 29-Apr-2016 15:17:24 (UTC+8) - dc.date.available 29-Apr-2016 15:17:24 (UTC+8) - dc.date.issued (上傳時間) 29-Apr-2016 15:17:24 (UTC+8) - dc.identifier (Other Identifiers) B2002003778 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88303 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 81351011 zh_TW dc.description.abstract (摘要) 在充滿不確定性之交易市場中，每位交易者會盡量利用所擁有之資訊，在市場有干擾（如，風險性資產供給之不確定性、個人偏好不同、個人面對之稅負環境不同等）之情形下，市場會顯露出部份私人訊息，故交易者亦會經由對價格和交易量之觀察習得訊息；擁有私人訊息之交易者稱為消息靈通者(Informed)，未擁有私人訊息而只能經由觀察價格而習(learn )得 訊息之交易者稱為消息不靈通者(Uninformed)，他們二者之差異在於他們是否願花成本或資源以購買訊息。本文係在干擾理性預期模型下，利用所設定之特殊效用函數--絕對風險規避效用函數及假設隨機變數為多元常態分配，探討市場有干擾情形下，在第一期有私人訊息而在第二期有公開訊息揭露之不對稱訊息模型中價格之資訊性，分別分析了公告訊息和私人訊 息之干擾程度、風險性資產供給之不確定及購買訊息人數對二期價格資訊性之影響。在所設定的模型有解下，本文利用這些影響因素對公告訊息和私人訊息在總合需求計劃部位 (Position)的彈性說明二期價格資訊性。同時文中亦探討購買訊息人數之內生決定，顯示了公告訊息之揭露會修正交易者之看法而減少私人蒐集訊息之誘因。 zh_TW dc.description.tableofcontents 第一章 緒論..........1 第一節 研究動機與目的..........1 第二節 研究方法..........3 第三節 本文內容與論文結構..........4 第二章 文獻回顧..........5 第一節 含私人訊息下相關理性預期文獻..........5 第二節 公告訊息下相關理性預期文獻..........8 第三章 理論模型..........14 第一節 模型的建立與假設..........14 第二節 均衡模式的建立..........18 第三節 均衡之探討..........26 3.1均衡λ之探討..........26 3.2 價格資訊性之探討..........28 第四章 結論及未來研究方向..........38 附錄..........40 參考文獻..........50 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003778 en_US dc.subject (關鍵詞) 資訊性 zh_TW dc.subject (關鍵詞) 理性預期 zh_TW dc.subject (關鍵詞) 消息靈通者 zh_TW dc.subject (關鍵詞) 訊息不對稱 zh_TW dc.subject (關鍵詞) Informativeness en_US dc.subject (關鍵詞) Asymmetric Information en_US dc.subject (關鍵詞) Rational Expectation en_US dc.subject (關鍵詞) Informed en_US dc.title (題名) 多期理性預期模型下價格資訊性之研究 zh_TW dc.title (題名) Informativeness of Prices in Multi-period Rational Expections Model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] 郭照榮,"金融市塌訊息的公開揭露與配置",政大經研所未出版之博士論文(民81年) [2] 翁霓,"雜訊交易對股價行為影響之研究",政大企研所未出版之碩士論文(民82年) [3] 林宜勉,"差別訊息下證券價格和交易量之研究",臺大商研所未出版之博士論文，", (民83年) [4J Aclmati,A.R. " A Noisey Rational Expections Equilibrium for Multi- Asset Securities Markets." Econometrica 53 (May) (1985):629- 657 [5] Aclamti,A .R.& P.Pfteiderer"Viable Allocation of Information in Financial Markets.".Journal of Economic Theory 43 (1987):76-115 [6] Diamoncl,D.\\•V.`;Optimal Release of Information By Firms." The Journal of Finance 4 (1985):1071-1094 [7] Diamoncl,D. W.& Verrecchia,R.E. "Information Aggregation in a Noisy Rational Expections Economiy." Journal of Financial Economics 9 (September 1981) :221-235 [8] Grossman,S.J." On The Efficiency of Competitive Stock Markets Where Traders Have Diverse Information." Journal of Finance 31 (May 1976):573-585 [9] Grossman,S.J.& Stiglitz,J. E." On The Impossibility of Informationally Efficient Markets." America Economic Review 70 (1980):393-408 [10] Hellwig,M.F."On The Aggregation of Information in Competitive Markets.".Journal of Economic Theory 22(19S0):4T7-498 [11] Hellwig,M.F."Ration Expections Equilibrium With Conditioning on Past Prices:A [dean-Variance Example." Journal of Economic Theory 26(1982):279-312 [12] Foster,F.D.& Viswanathan,S. “The Effect Of Public Information and Competition On Trading Volum and Volatility." The Review of Financial Studies 6( 1993)23-,56 [13] Grundy,B.D.& McNichols ,M."Trade and Revelation of Information Through Prices and Direct Disclosure. " Review of Financial Studies 2(1989):495-.526 [H] Holthausen,R. W.& Verrecchia,R.E. "The Effect of Sequential Information Release on the Variance of Price Change in an Informational Multi-Asset Market.•` Journal of Accounting Research 26(Spring 1988):82-106 [15] Kim,O .& Verrecchia,R.E."Trading Volume and Price Reaction to Public Announcements.:` Journal of Accounting Research 29 (Autumn 1991)302-321 [16] Lang,L.H.,Litzenberger,R.H.& Madrigal,V."Testing Financial Market Equilibrium under Asymmetric Information." Journal of Political Economy 100(1992):317- 348 [17J Lundholm,R.J." Price--Singal Relations in the Presence of Correlated Public and Private Information ." Journal of Accounting Research 26(Spring 1988):107-118 [18] Verrecchia,R.E."On the Relationship Between Volume Reaction Consensus of Investors:lmplication for Interpreting Tests of InformationContent." Journal of Accounting Research 19 (Spring 1981):271-283 [19] Verrecchia,R. E. " Information Aquisition in a Noisy Ratioal Expectations economy." Econometrica 50(1982):1415-1430 [20] Johnson,R.A.& Wichern,D.vV." Applied Multivariate Statistical Analysis. "3rd eclition,A Simon & Schaster Company, Englewood Cliffs,New Jersey. zh_TW
