| 摘要: |
| 在不完全竞争的市场框架下，建立交易者结构为“知情交易者、理性交易者和噪声交易者”的股票市场均衡价格博弈模型，研究精练贝叶斯均衡下知情交易者的分离、混同定价策略。分析表明：当收到利好信息时，知情交易者偏好分离均衡，将完全揭示信息；而收到利空信息时，知情交易者偏好混同均衡，将隐藏部分信息。这为“个股收益正偏”现象及“酌情揭示”假说的理论解释提供了一个新的视角。 |
| 关键词: 精练贝叶斯均衡 分离均衡 混同均衡 信息揭示 信息隐藏 知情交易者 理性交易者 噪声交易者 “酌情揭示”假说 个股收益正偏 |
| DOI： |
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| Pricing Strategy and Information Disclosure of Informed Traders in Stock Market—Theoretical Explanation on “Positively-biased Individual Stock Earnings” and “Conditioned Information Disclosure” Based on Investor Behaviors |
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TAO Ke, ZHANG Jie
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| Abstract: |
| Under a non-completely competitive market framework, we establish a game model of equilibrium price in stock market based on the trader structure of informed traders, rational traders and noise traders and study the pricing strategy of the informed traders under the separating equilibrium and the pooling equilibrium of the refined Bayesian equilibrium. The conclusion demonstrates that, when the informed traders receive favorable information, they prefer the separating equilibrium and will reveal the information completely, but when they receive unfavorable information, they prefer the pooling equilibrium and will hide some information, which provide a new perspective for the explanation on the hypothesis of “positively-biased individual stock earnings” and “conditioned information disclosure” |
| Key words: refined Bayesian equilibrium separating equilibrium pooling equilibrium information disclosure information hiding informed trader rational trader noise trader hypothesis of “conditioned information disclosure” positively-biased individual stock earnings |
