信息认知偏差、有限竞争与资产定价  

Cognitive Biases,Limited Competition and Asset Pricing

作　　者：刘霞 刘善存[2] 张强[3] LIU Xia;LIU Shan-cun;ZHANG Qiang(School of Economics and Management,University of Science and Technology Beijing,Beijing 100083,China;School of Economics and Management,Beihang University,Beijing 100191,China;School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China)

机构地区：[1]北京科技大学经济管理学院,北京100083 [2]北京航空航天大学经济管理学院,北京100191 [3]北京化工大学经济管理学院,北京100029

出　　处：《中国管理科学》2023年第2期9-17,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71771008,72201032);中国博士后科学基金资助项目(2021M690373);中央高校基本科研业务费专项资金资助项目(FRF-TP-20-080A1,PT2015)。

摘　　要：基于市场微观结构理论,在Kyle型做市商市场中,假设知情交易者对私人信息的实现值存在认知偏差,研究知情交易者的交易策略、相互竞争及资产定价结果,并比较有认知偏差与无认知偏差时交易者策略行为和资产定价结果的差异。通过贝叶斯更新理论和投影定理求解模型,发现信息认知偏差在一定范围内,市场存在唯一完美贝叶斯均衡,且:(1)理性知情交易者仅基于其私人信息进行交易,非理性知情交易者既基于私人信息,还基于其与理性知情交易者的认知偏差进行交易;(2)理性知情交易者对共享信息的交易强度、期望交易量、期望收益均大于(小于)过度悲观(乐观)认知的非理性知情交易者;(3)过度悲观(乐观)的认知偏差下,市场流动性、资产价格发现效率小于(大于)无认知偏差下的市场流动性和资产价格发现效率。同时,进一步探讨认知偏差与资产定价泡沫的关系。Based on market microstructure theory,a Kyle-type market maker model is developed to explore the completion between traders who bear cognitive biases on the same private information they both observe and the consequent impacts on market outcomes.Firstly by analyzing informed traders’trading pattern and asset pricing in the base model where both informed traders process the private information rationally and correctly,it is found that informed traders adopt identical trading strategy in equilibrium and divide profits equally.Then,the main model assumes that one of the two informed traders is rational and has objective and right view on the information while the other one is not rational and have subjective bias on that information,either over-optimistic or over-pessimistic.On the premise of those cognitive biases,these informed traders’trading strategies,competition effect between them and the consequent asset pricing are examined.Then,it compares informed traders’strategic behaviors,and the market outcomes of asset pricing with and without cognitive biases,and finds that a unique equilibrium exists when and only when the cognitive biases are within certain limits,or else the market breaks down.In equilibrium,the rational informed trader trades on this private information only,whereas the subjective informed trader trades not only on this private information but also on the difference between his views on the shared information and the rational informed trader’s.As a result,the rational trader’s trading intensity on the private information,expected trading volume,and expected profits are larger(smaller)than those of the subjective informed traders when he is over-pessimistic(over-optimistic),respectively.That is,the over-pessimistic(over-optimistic)informed trader competes against the rational informed trader in this trading game and gains more(less)than the rational informed trader does due to his cognitive biases.In respect to market liquidity and efficiency for price discovery,they are smaller when th

关 键 词：策略交易 过度悲/乐观信念 有限竞争 定价泡沫 

分 类 号：F830[经济管理—金融学]