有限关注、噪声交易与均衡资产价格  

Limited attention,noise trading and asset price in equilibrium

作　　者：彭叠峰[1] 饶育蕾[1] 雷湘媛[1] 

机构地区：[1]中南大学商学院,长沙410083

出　　处：《管理科学学报》2015年第9期86-94,共9页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71301169;71372063)

摘　　要：在单资产的两期定价模型中,刻画了关注和疏忽两类投资者,在市场出清的均衡状态下发现提高信息关注度可以降低资产的风险溢价.将关注交易者进一步划分为信息关注者与噪声关注者后,关注度与风险溢价的关系依赖于噪声交易者在关注交易者中所占的比例:当噪声关注者比例较高时,关注度的提高会增加风险溢价,当噪声关注者的比例较低时,则相反.称这一结论为"关注者分类假说".引入理性预期的疏忽交易者后,其核心结论仍然成立.We specify attentive and inattentive investors in a two period model with a single risky asset. In themarket-clearing equilibrium, we find that the more attention investors pay to the relevant information, the low-er the risk premium they obtain. We divide the attentive investors into two categories： the investors who are at-tentive information and those who are attentive to noise, then, we find that the proportion of investors who areattentive to noise plays a vital role in determining the relationship between the attention level and the risk pre-mium. Given more attention paid to the noisy information, the increase in the number of attentive investorstends to raise the risk premium, but the effect turns negative when less attention is paid to the noisy informa-tion. We call this ＂attention classifying hypothesis＂pectation, we obtain the similar conclusions.After introducing inattentive investors with rational ex-pectation, we obtain the similar conclusions.

关 键 词：有限关注 资产定价 关注者分类假说 有限理性 

分 类 号：F830.9[经济管理—金融学]