信息披露、有限关注与交易者期望收益  

Information Disclosure,Limited Attention and Expected Return of Traders

作　　者：丁月华[1] 张淳 DING Yuehua;ZHANG Chun(School of Economies and Management,Taiyuan University of Science and Technology,Taiyuan 030024,China)

机构地区：[1]太原科技大学经济与管理学院,山西太原030024

出　　处：《昆明理工大学学报（自然科学版）》2023年第2期168-174,194,共8页Journal of Kunming University of Science and Technology(Natural Science)

基　　金：山西省科技战略研究专项(202204031401109);太原科技大学科研博士启动基金项目(W20212006)。

摘　　要：把基于信息的交易者分为内部交易者和关注交易者,内部交易者最先得到信息并进行交易,关注交易者通过观察市场中披露出来的信息,随后参与交易,以此建立了异质交易者两期交易模型,探讨关注度对交易行为和期望收益的影响.研究表明:内部交易者的期望收益在第一期随着关注度的增大而增大,而在第二期正好相反;关注交易者的期望收益随着关注度的增大而增大;两类交易者的期望总收益与关注度之间是倒U型关系.The information-based traders are divided into insider and attent ive traders.The insider is the first to get information and trades.The attentive traders pay attention to the information disclosed,and then participate in the transactions.A two-stage trading model of heterogeneous traders is established to explore the impact of attention on trading behavior and expected return.The research shows that the expected return of the insider increases with the increase of attention in the first period,but it is just the opposite in the second period.The expected return of attentive trader increases with the attention.There is an inverted U-shaped rel ationship between the attention and the expected total return of the two types of traders.

关 键 词：信息披露 有限关注 交易 期望收益 

分 类 号：F830.91[经济管理—金融学] F275