公共情绪、做市商过度自信与市场均衡定价分析  

Common sentiment,overconfident market makers and equilibrium prices

作　　者：田丽 张强[1] 曾庆铎[2] 刘善存[2] TIAN Li1, ZHANG Qiang1, ZENG QingDuo2, LIU ShanCun2(1. School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029; 2. School of Economics and Management, Beihang University, Beijing 100191, Chin)

机构地区：[1]北京化工大学经济管理学院,北京100029 [2]北京航空航天大学经济管理学院,北京100191

出　　处：《北京化工大学学报（自然科学版）》2018年第2期95-99,共5页Journal of Beijing University of Chemical Technology(Natural Science Edition)

基　　金：国家自然基金(71371024/71371023)

摘　　要：基于公共情绪的市场环境探究了做市商对公共情绪的过度自信行为,并分析了这种行为对价格的信息含量、市场流动性以及资本成本的影响过程。研究结果表明:做市商对公共情绪的过度自信程度越高,则市场流动性越大,资本成本越低,进而使价格对基本面的反应强度增大、对情绪的反应强度减小;在做市商的环境中,过度自信对价格的信息含量不产生影响,故知情交易者在信息获取时不受做市商非理性行为的影响。We consider a semi-strong efficient environment in which the market is filled with common sentiment stemming from noise traders＇ sentiment. In this market mechanism, the effects of market maker＇s overconfidence to- wards the common sentiment on price informativeness, market liquidity and cost of capital are analyzed. The results show that a high degree of overconfidence can promote market liquidity, lower the cost of capital, increase the weight of fundamentals and decrease the sentiment in price. Furthermore, we find price informativeness remains unaffected by the overconfident market maker, which therefore, means the motivation for information acquisition is unchanged.

关 键 词：情绪 理性预期 做市商 过度自信 

分 类 号：F830.9[经济管理—金融学]