異質性解讀對股價及資訊蒐集之影響

The Effect of Different Information and Opinions on Stock Price and Information Acquisition

張婷韻(Ting-Yun Chang)

指導教授 ： 古思明

共同指導教授 ： 郭文忠(Wen-Chung Guo)

國立臺灣大學/社會科學院/經濟學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.00768

摘要

在財務市場中，每人所掌握的資訊不盡相同，即使相同，也未必對未來的股價有相同的看法。本文即在此架構下，探討外生因素對股價及個人資訊蒐集意願之影響。

在均衡股價的比較靜態分析方面，我們得到兩個結論。其一，當一個人得到的信號透露出樂觀 (悲觀)訊息，且持有股數為正數 (負數)時，則對該人而言，如果他越風險趨避，均衡股價就會越低 (高)。其二，對前述同樣的投資人而言，如果他預測未來股價的能力越強，則均衡股價會越高 (低)。

在個人資訊蒐集意願的比較靜態分析方面，由代數分析結果可知，當蒐集成本越高，個人蒐集資訊的意願會越低。此外，若未來股價的變異性越大，會更加促使個人去蒐集資訊。在數值分析上，我們得到四個結果。第一，隨著自己越風險趨避，個人蒐集資訊的意願會先增後減。第二，當他人極端愛好風險，則個人蒐集意願會因他人風險趨避度增加而減少。然而，若他人非極端風險愛好者，則隨他人風險趨避度增加，個人資訊蒐集意願會先增後減。第三，當一個人預測未來股價的能力越強，其蒐集資訊的意願也會越強；不過，當其預測能力幾乎達百分之百正確時，該人的蒐集意願可能會稍微減弱。第四，一般而言，他人預測未來股價的能力越強，會減弱自己蒐集資訊的意願。然而，此結果有釵h例外的情況。

關鍵字

蒐集意願 ； 股價 ； 解讀不同 ； 蒐集資訊 ； 信念不同

並列摘要

The purpose of this study is to explore that in a speculative market, how will the equilibrium price and the incentive to acquire costly information be affected when traders have not only different information, but also divergent opinions.

From comparative statics analysis of equilibrium price, we demonstrate two things.
One is that if a trader gets good (bad) signal and holds positive (negative) number of risky securities, then as he becomes more risk averse, the equilibrium price will decline (increase). The other is that under the same conditions above, the better his forecasting capability, the higher (lower) the equilibrium price will be.

On the analysis of willingness for collecting information, we conclude analytically that the more costly information, the weaker incentive for obtaining information is. Besides, the wider dispersion of the final return, the stronger incentive will be. Other results derived from numerical analysis are as follows: first, as an agent becomes more risk averse, he will be more aggressive to collect information as long as the level of his risk aversion is low, but larger level of this will eliminate his willingness gradually. Secondly, when the other loves risk so extremely that his level of risk aversion approaches zero, there may be a dip in one's incentive for acquiring information as the other's level of risk aversion increases. However, when this level becomes larger, one's willingness to pay for information will rise to some degree first and then decline gradually on average. Finally, an improvement in one's prediction ability for future price of the risky assets will generally encourage himself to obtain information, while an enhancement in the other's will, on average, discourage himself from getting it, though there exist some exceptions to these rules.

並列關鍵字

different beliefs ； different opinions ； different information ； the incentive for acquiring information ； collect information

參考文獻

Admati, A.R., 1985,

“A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets,”

Ausubel, L., 1990,

“Partially Revealing Rational Expectations Equilibrium in a Competitive Economy,”

Barlevy, G., and P. Veronesi, 2000,