论文部分内容阅读
不确定性是证券市场的基本特征之一,是资产定价和投资者交易行为等研究的主要内容。标准期望效用理论认为投资者具有唯一的资产执行价格,当市场价格高于执行价格时,投资者出售资产;反之,则会购进。然而,源于不确定性的存在,资产的均衡价格或交易价格并非某一确定值而是某一区间;在此区间内,投资者无交易行为,我们称之为资产的惰性区间。本文假定投资者是不确定性规避型,基于可行域上的容度,引入测度奈特不确定性程度的等级参数,研究奈特不确定性下的资产及其组合的惰性区间。基于容度期望效用模型,利用容度代替概率测度表征投资者预期效用,提出奈特不确定性下投资者决策行为的偏好表达式;基于对偶测度构建资产交易的惰性区间,分析奈特不确定性程度与惰性区间的关系;最后,基于Black-Scholes期权定价模型,选择存续期为2008年10月-2011年8月的江铜认购权证和长虹认购权证为研究对象,以其单资产及不同比例资产组合的日收益数据为样本予以实证。结果表明:随着奈特不确定性程度的不断增强(减弱),资产及其组合的惰性区间不断扩大(缩小),市场流动性随之下降(上升);随着奈特不确定性程度的增强,高价格、高波动率的资产及其组合的惰性区间变化更为明显;在适度的奈特不确定性程度范围内,高波动率的资产及其组合的交易相对活跃。研究解释了证券市场上的“非市场参与”之谜和“特质波动率”之谜,说明了证券市场上的“有限市场参与”特征,为资产定价与市场流动性关系的研究提供了参考。
Uncertainty is one of the basic characteristics of the securities market, the main content of the research on asset pricing and investor transaction. The standard expectation utility theory holds that the investor has the sole asset execution price. When the market price is higher than the execution price, the investor sells the asset; on the contrary, the investor buys the asset. However, due to the existence of the uncertainty, the equilibrium price of the asset or the price of the transaction is not a certain value but a certain interval; in this interval, the investor has no trading behavior, which we call the inert interval of the asset. In this paper, we assume that investors are uncertainty aversion. Based on the degrees of tolerance in feasible domains, we introduce the level parameters that measure the degree of uncertainty of Knight to study the inert interval of assets and combinations under the Knight uncertainty. Based on the expected utility model of capacity, we use the capacity instead of the probability measure to represent the expected utility of investors and put forward the preference expression of investor decision-making behavior under the uncertainty of Knight. Based on the dual interval, we construct the inert interval of asset transaction, Finally, based on the Black-Scholes option pricing model, the paper chooses Jiangtong Warrants and Changhong Warrants that have a duration of from October 2008 to August 2011 as the research object, with the single asset and the different The daily return data from the proportional portfolio are tested for the sample. The results show that with the increasing degree of uncertainty (weakened), the inertia interval of assets and their portfolios expands (decreases) and the market liquidity decreases (increases). With the degree of uncertainty of Knight The inert interval of assets with enhanced, high price and high volatility changes more clearly; within the modest degree of Knight’s uncertainty, transactions with high volatility assets and their portfolios are relatively active. The study explains the mystery of “non-market participation ” and the mystery of “trait ” in the securities market, and illustrates the “limited market participation ” characteristics in the securities market, which is the relationship between asset pricing and market liquidity The research provides a reference.