基于理性预期均衡框架下的价格泡沫与过度反应研究  

Price Bubble and Overreaction

作　　者：张强[1] 曹阳 曾庆铎[2] 刘善存[2] ZHANG Qiang;CAO Yang;ZENG Qing-duo;LIU Shan-cun(School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China;School of Economics and Management,Beihang University,Beijing 100191,China)

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：《中国管理科学》2020年第11期175-183,共9页Chinese Journal of Management Science

基　　金：中央高校基本科研业务费专项资金资助(PT2015);国家自然科学基金资助项目(71771008);北京化工大学一流学科建设专项资金资助项目(XK1802-5);中国博士后基金资助项目(2019M660424)。

摘　　要：基于理性预期均衡框架,分别在私人信息外生和内生获取的条件下研究知情交易者对新信息过度反应与价格泡沫之间的联系。研究发现:在私人信息外生获取的情况下,知情交易者对新信息过度反应会提高价格信息量。在私人信息内生获取的情况下,过度反应挤出了私人信息的生产,导致价格信息量降低,价格泡沫由此形成,此时流动性可能呈先降低后提高的U型变化。这为管理层加强私人信息披露和弱化投资者的过度反应程度提供了依据。Asset price bubbles burst occasionally in security market.The well-known tulip bubble in the Netherlands,the Mississippi bubble in France and the South Sea bubble in the UK impress the word profoundly to this day.With bubble in asset price,learning information from asset price gets less effective for investors,which gives rise to investors’incorrect investment strategy,inefficient capital flows in security market and consequently reduces market stability and disturbs the market’s role of efficient resource allocation.So,lots of researchers try to explain price bubble from trading volume,return,turnover etc.based on Efficient-Markets Hypothesis.However,most of them are not as persuasive due to the imperfection of Efficient-Markets Hypothesis.Meanwhile,some researchers turn to overreaction theory in behavioral finance to analyze this anomaly.Overreaction theory documents that investors overreact to some news or information due to cognitive and emotional biases.For example,investors overvalue immediate information while attach less importance on the previous information.In addition,most of these researches examine price bubble by empirical analysis,but scarcely focus on the relation between overreaction and price bubble in framework of microstructure theory.Taking into account information delay hypothesis,a two-period model is built to analyze relations between investors’overreaction and price bubble within rational expectation framework.In this model,early-informed investors observe a piece of private information on the fundamental value of the traded asset as well as learn information from price in the first round.In the second period,public information is disclosed and the early-informed investors and late-informed investors both overreact to this public information,that is,they overweight public information relative to their own private information.Firstly,with exogenous information acquisition,it is found that the informed investors’overreaction to the public information has no influence on the price in

关 键 词：价格泡沫 过度反应 新信息 价格信息量 理性预期均衡 

分 类 号：F830[经济管理—金融学]