奈特不确定性与非流动资产定价:理论与实证  

Illiquid Asset Pricing under Knightian Uncertainty:Theory and Evidence

作　　者：高金窑[1] 

机构地区：[1]山东大学经济学院金融系

出　　处：《经济研究》2013年第10期82-97,共16页Economic Research Journal

基　　金：国家自然科学基金青年项目(71201092);国家自然科学基金面上项目(71273155);教育部人文社会科学基金青年项目(10YJC790059);国家社科基金重大招标项目(12ZD&069)的阶段性研究成果

摘　　要：如何评价非流通股的价值是理解我国资本市场效率的关键。面对数倍于国外市场的非流通股折价现象,本文认为除了交易限制所造成的风险非分散化之外,长期的信息不透明或不对称所引发的奈特不确定性是造成我国非流通股折价的主要原因。通过理论分析发现,奈特不确定性显著提高了非流动资产的折价率,并且流动性约束进一步放大了其折价效果;这源于奈特不确定性无法对冲,并且对投资者的资产配置策略及消费策略具有一阶效应与"累积"效应。实证结果支持本文的理论预期,并且奈特不确定性的影响效果在控制了其它信息渠道及各种理论解释之后仍然显著。实证结果还表明,传统意义上的风险指标波动率无法解释我国的非流通股折价现象;而市场投机与价格泡沫对非流通股折价具有显著影响。How to price the illiquid shares is the key method to explore the efficiency of Chinese stock markets. The illiquid shares in China were transferred with a much higher price discounts compared with those in foreign markets. Except for the risk under-diversification caused by trading restrictions, the paper proposes that Knightian uncertainty raised by long term opaque or asymmetric information is the main reason for the high price discounts. Theoretical analyses show that Knightian uncertainty increases the price discounts of illiquid assets, and the discount effects are magnified by the trading restriction time. This is because Knightian uncertainty has first-order and cumulative effect on the optimal investment and consumption strategy, and can＇ t be hedged out using other assets. The empirical results support those theoretical predictions and remain significant after controlling for alterative explanations. The paper also finds that speculations and price bubbles in stock markets can explain the price discount of illiquid shares, but the traditional risk measure -- volatility -- can＇ t.

关 键 词：奈特不确定性 流动性约束 非流动资产 资产定价 

分 类 号：F830.9[经济管理—金融学]