相关系数暧昧环境下金融市场有限参与与不对称信息

本项目考察风险资产之间相关系数暧昧性在投资者行为和资产定价中的作用。模型设定四类投资者，即内部型投资者、复杂型投资者、天真型投资者与噪音型投资者，个人的决策同时结合风险和暧昧。暧昧型投资者的需求曲线显示三个特征：暧昧型投资者规避暧昧性的理性决策导致他们不参与风险资产投资；暧昧型投资者的需求曲线是连续的，并且在某些价格上存在尖点；四类投资者之间具有相同的交易方向。由此导出有限参与源自暧昧型投资者与噪音型投资者为规避相关性暧昧的理性决策，并且求解一般经济均衡定价规则。经济均衡的类型由资产质量的取值范围确定，根据资产质量的高低存在七类均衡(包括投资者的完全参与均衡与部分参与均衡等)，进而说明有限参与现象。在七类均衡状态，低质量的资产反而会产生正向超额收益。投资者会转移投资到高质量资产，市场中暧昧型投资者相关性暧昧程度变化会改变均衡的类型，暧昧型投资者与噪音型投资者比例变化也会改变均衡的类型。

This proposal investigates the implications of ambiguity of correlation coefficient between risky assets for investors’ decision making and limited participation under market equilibrium. In our multi-asset model, there exist four types of investors (inside investors, sophisticated investors, naïve investors and noise investors) and individuals’ decision making incorporates both risk and ambiguity. The properties of ambiguous investors’ demand functions are listed: the ambiguous investor’s demand function is continuous in price but has kinks at several prices; the non-participation phenomenon for ambiguous investors can be observed; the ambiguous investor’s decision about whether to hold assets is independent of the set of correlation coefficients the investor believes possible as discrete or continuous; the inside and ambiguous investors trade in the same direction, the sophisticated and naïve investors trade in the same direction, and the ambiguous and noise investors trade in the same direction. We demonstrate that limited participation arises from the rational decision by ambiguous investors to avoid correlation ambiguity, and solve equilibrium pricing rule. There exist seven types of equilibria (a participating one in both assets for ambiguous and noise investors, two non-participating ones in one asset for noise investors, two non-participating ones in one asset for naïve and noise investors, and two non-participating ones for ambiguous and noise investors) in which the equilibrium types depend upon the range of quality ratio for the two risky assets. In the seven types of equilibria, the risky asset with low quality will generate positive excess returns, while the asset with high quality will generate negative excess returns. Comparative static analysis of the equilibrium result suggests that changes in the ambiguous level for ambiguous investors and the fraction of three types of investors can alter equilibrium types and affect equilibrium prices. We also observe flight to quality phenomenon.