:::

詳目顯示

回上一頁
題名:論延後資訊交易
作者:李榮瑞
作者(外文):Jung-juei Lee
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
指導教授:郭照榮
學位類別:博士
出版日期:2009
主題關鍵詞:競爭性理性預期模型資訊不對稱資訊交易交易時機風險溢酬理論Competitive rational expectations modelasymmetric informationinformed tradingtrade timingrisk premium theory
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:0
資訊交易之相關文獻,無論是競爭性理性預期模型或是不完全競爭的策略性模型,普遍假設資訊者一拿到私有資訊,就會立即進行不同程度的資訊交易;事實上,股票市場存在資訊者可能先進行非資訊交易,默默進貨,之後再進行資訊交易的交易型態,本文利用多期競爭性理性預期模型,證明在特定條件下,延後資訊交易,符合資訊者的利益,再而探討延後資訊交易的影響,我們發現股票可能會有動能效果,而且,已知資訊不對稱下,價格波動高於對稱資訊的價格波動,而延後資訊交易的價格波動更高於立即進行資訊交易的價格波動,以上現象可解釋股票市場的另一部份實況。
In standard models of informed trading, they implicitly assume that all informed traders receive their information at the same time and then trade on their private information immediately, whether competitive or imperfect competitive(strategic)rational expectations model, differing on the speed of information revelation. In reality, the informed traders may quietly and skillfully perform noninformational trading to accumulate their “line” cheaply. In this paper, we develop the multiperiod competitive rational expectations model with asymmetric information to show, under some conditions, delaying their informed trades is in the interests of informed traders; then we explore the implications of our model for the behavior of stock price, especially we find that, delaying the informed trades may increase price volatility and display the momentum effect, consistent with the empirical results.
Admati, A.R., 1985, A noisy rational expectations equilibrium for multi-asset securities markets, Econometrica, 53,629-658.
Admati,A. R., and P. Pfleiderer, 1988, A Theory of intraday patterns: volume and price variability," Review of Financia1 Studies, 1, 3-40.
Back, K., Cao, H., Willard, G., 2000. Imperfect competition among informed traders. Journal of Finance, 55, 2117–2155.
Baruch , S., 2002, Insider trading and risk aversion, Journal of Financial Markets, 5, 451-464.
Black, Jane and Tonks, Ian, 1990. Asset Price Variability under Asymmetric Information, Economic Journal, vol.100, 67-77.
Black, Jane M. and Tonks, Ian, 1992. Asset price variability in a rational expectations equilibrium, European Economic Review, 36, 1367-1377.
Bray, M. M., 1981, Futures trading, rational expectations, and the efficient
markets hypothesis, Econometrica, 49, 575-596.
Brown, D. P., and Jennings, R. 1989. On technical analysis. Review of Financial Studies 2, 527–51.
Brown, D. P. and Zhang Z. M., 1997, Market orders and market efficiency,
Journal of Finance, 52, 277-308.
Brunnermeier, M. K., 2001, Asset pricing under asymmetric information: bubbles, crashes, technical analysis and herding, Oxford University Press, Oxford.
Brunnermeier, M. K., 2005, Information leakage and market efficiency, Review of Financial Studies, 18, 417-457.
Chan, K., Menkveld, A.J., Yang, Z., 2006. Information Asymmetry and Asset Prices:
Evidence from the China foreign share discount. Journal of Finance, 63, 159-196.
Danthine, J.-P, and S. Moresi, 1993, Volatility, information and noise trading, European Economic Review, vol.37, 961-982.
Diamond, D. W., and R. E. Verrecchia, 1981, "Information Aggregation in a Noisy Rational Expectations Economy," Journal of Financial Economics, 9, 221-235.
Edwards, Robert D., and John Magee, 1966, Technical Analysis of Stock Trends, John Magee INC., Boston, Mass.
.Easley, David, Soeren Hvidjkaer, and Maureen O’Hara, 2002, Is information risk a determinant of asset returns? Journal of Finance, 57, 2185–2222.
Easley, David, and Maureen O’Hara, 2004, Information and the cost of capital, Journal of Finance, 59, 1553–1583.
Fama, Eugene F., and Kenneth R. French, 1992, The cross section of expected stock returns, Journal of Finance 47, 427-465.
Fama, E., and French, K. 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance, 51, 55–84.
Froot, K.; Scharfstein, D.; and Stein, J. 1992. Herd on the street: Informational inefficiencies in a market with short-term speculation. Journal of Finance 47, 1461–84.
Grossman, S. J., 1976, On the efficiency of competitive stock markets where traders have diverse information, Journal of Finance 31, 573-585.
Grossman, S. J., 1981, An introduction to the theory of rational expectations under asymmetric information, Review of Economic Studies 48, 541-559.
Grossman, S. J., 1986, An analysis of the role of “insider trading” on futures markets,
Journal of Business, 59, 129-146.
Grossman, S. J. and Miller M. H., 1988, Liquidity and market structure, Journal of
Finance, 43, 617-633.
Grossman, S. J. and Joseph Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
Hasbrouck, J., 1991, The summary informativeness of stock trades: an econometric
analysis, Review of Financial Studies, 4, 571-595.
Hellwig, M. F., 1980, On the aggregation of information in competitive markets," Journal of Economic Theory, 22, 477-498.
Hirshleifer, D., Subrahmanyam, A., and Titman, S., 1994, Security analysis and
trading patterns when some investors receive information before others,
Journal of Finance 49, 1665-1698.
Holden, C.W. and Subrahmanyam, A., 1992, Long-lived private information and
imperfect competition, Journal of Finance 47, 247-270.
Holden, C.W. and Subrahmanyam, A., 1994, Risk aversion, imperfect competition,
and long-lived information, Economics Letters 44, 181-190.
Holden, C.W. and Subrahmanyam, A., 1996, Risk aversion, liquidity, and endogenous
short horizons, Review of Financial Studies, 9, 691-722.
Holden, C.W. and Subrahmanyam, A., 2002, New events, information
acquisition, and serial correlation, Journal of Business, 75, 1-32.
Jegadeesh, N., and S. Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, 48 , 65-91
Kyle, A.S., 1985, Continuous auctions and insider trading, Econometrica 53,
1315-1335.
Lee, Jung-Juei,, Lon-Ping Zu, Ming-Chang Wang and Chau-Jung Kuo, 2009, Competitive Investors, Trade Timing, and Price Discovery, Applied Financial Economics, forthcoming.
Lee, Jung-Juei, and Chau-Jung Kuo, 2009, Information Asymmetry, Trade Timing and Market Behavior, International Research Journal of Finance and Economics , forthcoming.
Lefevre, Edwin, 1994, Reminiscences of a Stock Operator, John Wiley & Sons, INC.
LeRoy S., and R. Porter, 1981, Stock price volatility: Tests based on implied variance
bounds, Econometrica, 49, 97-113
Lucas, R. E., 1972, Expectations and the neutrality, Journal of Economic Theory, 4, 103-24.
Madhavan, A., 1996, Security prices and market transparency, Journal of Financial
Intermediation, 5, 255-283.
Massoud, N., Bernhardt, D., 1999. Stock market dynamics with rational liquidity traders. Journal of Financial Markets 2, 359–389.
Manzano, L. A. and Vives, X., 2001, Strategic behavior and price discovery, RAND Journal of Economics, 32, 221-248.
O’Hara, M., 1995, Market microstructure theory, Basil Blackwell, Cambridge, Mass.
O’Hara, M., 2003, Presidential address:Liquidity and price discovery, Journal of Finance, 58, 1335–1354.
Rindi B., 2008, Informed traders as liquidity providers: anonymity, liquidity and price formation, Review of Finance, 12, 457–532.
Rouwenhorst, K.G., 1998, International momentum strategies, Journal of Finance, 53,
267-284.
Shiller, R., 1981, Do stock prices move too much to be justified by subsequent
changes in dividends? American Economic Review, 71, 421-498.
Slezak, S. L, 1994, A Theory of the Dynamics of Security Returns around Market Closures." Journal of Finance, 49, 1163-1211.
Slezak, S. L, 2003, On the impossibility of weak-form efficient markets. Journal of Financial and Quantitative Analysis, 38, 523-554.
Subrahmanyam, A., 1991, Risk aversion, market liquidity, and price efficiency,
Review of Financial Studies, 4, 417-441.
Szczutkowski A., 2001, Strategic information acquisition in capital markets, Japanese
Economic Review, 316-327.
Verrecchia, R. E., 1982, Information acquisition in a noisy rational expectations economy, Econometrica, 50, 1415-1430.
Verrecchia, R. E, 2001, Essays on disclosure, Journal of Accounting and Economics, 32, 97–180.
Vives, X.. 1995, Short-term investment and the informational efficiency of the market, Review of Financial Studies, 8, 125-170.
Vives, Xavier, 2008, Information and Learning in Markets, Princeton University Press.
Wang, J., 1993, A model of intertemporal asset prices under asymmetric information,
Review of Economic Studies, 60, 249-282.
Wang, Jiang, 1994, A model of competitive stock trading volume, Journal of Political Economy 102,127–168.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE