信息、投资者行为与资本市场效率  

Information, Investor Behavior and Capital Market's Efficiency

作　　者：翟林瑜[1] 

机构地区：[1]日本大阪市立大学

出　　处：《经济研究》2004年第3期47-54,共8页Economic Research Journal

摘　　要：以资本资产定价模型 (CAPM)为代表的新古典派资本市场理论从信息的完全性、市场参加者的完全理性、市场的无摩擦性与风险的可计量性这四个假设前提出发 ,通过主体均衡与市场均衡推导出一系列理想中的资本市场命题。但我们不应忘记 ,现实中的资本市场是远离该理想市场的 ,基于理想市场的事件研究这一实证分析手法也是有很大局限性的。我们应对市场中信息的不完全性、信息的非对称性以及投资者的有限理性等给予足够重视 。The new classical capital market theory, of which the CAPM is the most representative one, starts from a number of assumptions such as perfect information and perfect rationality and arrived at some propositions about the subjective equilibrium and market equilibrium. But we have to keep in mind that there is a wide distance between the real market and the ideal market described by the new classical capital market theory and realize that the event study popularly used in empirically verifying the market efficiency hypothesis or informational efficiency hypothesis has a lot of methodological problems. It is far more important to take information asymmetry and investor's irrational behavior into account and focus our attention on how to improve the real market's allocational efficiency toward ideal market.

关 键 词：CAPM 资本资产定价模型 资本市场 投资者行为 限理性 信息不对称 资源配置效率 新古典派 

分 类 号：F830.91[经济管理—金融学]