Capital Asset Prices and the Temporal Resolution of Uncertainty
Capital Asset Prices and the Temporal Resolution of Uncertainty
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资本资产价格和不确定性的时间解决
DOI：
10.1111/j.1540-6261.1980.tb03488.x
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发表时间：
1980
影响因子：
8
通讯作者：
S. Turnbull
中科院分区：
文献类型：
--
作者：
Larry G. Epstein;S. Turnbull
投资者预期的长期回报模式部分取决于不确定性的时间分辨率。有关一家公司的信息可能在任何时候都可以获得，一般来说，这些信息将影响价格，从而影响任何特定时期的可变现资本收益。虽然信息的数量和内容是不确定的，但投资者可能期望信息流的特征在证券之间有所不同，这应该反映在价格上。Robichek和Myers [26]认为，早期解决不确定性可能对价格产生积极影响，因为它允许个人修改他们的消费投资决策，以补偿不利的结果。如果这是正确的，那么它意味着一家公司可以通过告知投资者它将在信息可用时发布所有信息来增加其市场价值。然而，人们可能会认为，对特定时期内新信息的预期会增加持有特定股票的风险。投资者将要求更高的预期回报率，以对冲不利的结果，从而导致价格可能下跌。
THE PATTERN OF RETURNS that an investor expects over time partly depends upon the temporal resolution of uncertainty. Information pertaining to a firm may become available at any time and, in general, this information will affect price and thus the realisable capital gains in any particular period. While the amount and content of information is uncertain, investors may expect the characteristics of the flow of information to differ among securities and this should be reflected in prices.Robichek and Myers [26] argue that early resolution of uncertainty might have a positive effect upon price, for it allows individuals to revise their consumption-investment decisions to compensate for unfavourable outcomes. If this is correct, then it implies that a firm can increase its market value by informing investors that it will release all information when and if it becomes available. However, it might be argued that the expectation of new information arriving in a particular period increases the risk of holding the particular stock. Investors will require a greater expected rate of return in order to hedge against adverse outcomes, thus causing a possible decrease in price.