中国管理科学 ›› 2023, Vol. 31 ›› Issue (2): 9-17.doi: 10.16381/j.cnki.issn1003-207x.2020.1373
刘霞1, 刘善存2, 张强3
收稿日期:
2020-07-16
修回日期:
2020-11-30
出版日期:
2023-02-20
发布日期:
2023-02-28
通讯作者:
张强(1976-),男(满族),辽宁本溪人,北京化工大学经济管理学院,教授,博士,研究方向:金融市场微观结构,Email: jqx_zhq@buaa.edu.cn.
E-mail:jqx_zhq@buaa.edu.cn
基金资助:
LIU Xia1, LIU Shan-cun2, ZHANG Qiang3
Received:
2020-07-16
Revised:
2020-11-30
Online:
2023-02-20
Published:
2023-02-28
Contact:
张强
E-mail:jqx_zhq@buaa.edu.cn
摘要: 基于市场微观结构理论,在Kyle型做市商市场中,假设知情交易者对私人信息的实现值存在认知偏差,研究知情交易者的交易策略、相互竞争及资产定价结果,并比较有认知偏差与无认知偏差时交易者策略行为和资产定价结果的差异。通过贝叶斯更新理论和投影定理求解模型,发现信息认知偏差在一定范围内,市场存在唯一完美贝叶斯均衡,且:(1)理性知情交易者仅基于其私人信息进行交易,非理性知情交易者既基于私人信息,还基于其与理性知情交易者的认知偏差进行交易;(2)理性知情交易者对共享信息的交易强度、期望交易量、期望收益均大于(小于)过度悲观(乐观)认知的非理性知情交易者;(3)过度悲观(乐观)的认知偏差下,市场流动性、资产价格发现效率小于(大于)无认知偏差下的市场流动性和资产价格发现效率。同时,进一步探讨认知偏差与资产定价泡沫的关系。
中图分类号:
刘霞, 刘善存, 张强. 信息认知偏差、有限竞争与资产定价[J]. 中国管理科学, 2023, 31(2): 9-17.
LIU Xia, LIU Shan-cun, ZHANG Qiang. Cognitive Biases, Limited Competition and Asset Pricing[J]. Chinese Journal of Management Science, 2023, 31(2): 9-17.
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