A Simple Information Releases Model in the Presence of Correlated Public and Private Information

公開與私有訊息交相影響下風險資產價格的決定：一個簡單訊息揭露模型

張宮熊(Alex Kung-Hsiung Chang) ； 吳欽杉(Chin-Shun Wu)

《台灣管理學刊》 2卷1期 (2002/08) Pp. 69-90

https://doi.org/10.6295/TAMJ.2002.0201.04

摘要

本文以簡單的理性預期模型進行理論推導，探討在多期連續訊息：包括公開與私有訊息的揭露下，影響價格機制的因素。在模型中，假設市場揭露了標的風險資產真實價值事前的平均數與變異數，以及公開與私有訊息之間的共變數等訊息。我們利用比較靜態的分析，探討在連續價格揭露下，股價變動的一些結構問題。本文分別在跨期間訊息相關性與跨訊息相關性的某些條件限制下，發現一些影響價格機制因素的初步結論。

關鍵字

多元訊息連續揭露模型 ； 公開訊息 ； 私有訊息

並列摘要

This paper discusses main factors affecting the magnitude of price from a theoretical perspective under a sequence of public and private information releases about the real value of a single risky asset. The market possesses prior information about the mean and variance of the value of the risky asset, as well as the crosscorrelation between the public and private information. By using comparative static analysis, our model furnishes some structures to investigate the variation of stock price changes under the sequential information releases. This paper shows some unambiguous results for most of the determinants by placing certain restrictions on the intertemporal correlation and inter-information sources correlation, respectively.

並列關鍵字

sequential multi-information releases model ； public information ； private information

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