雜訊股利、內生公開價格信號以及透明化效果

Noisy Dividend, Endogenous Public Price Signals and Effects of Transparency

10.6160/2010.06.05

洪銘駿(Ming-Chun Hung)；徐守德(David S. Shyug)

雜訊理性預期均衡 ； 內生公開信號 ； 私有信號 ； 多元均衡 ； 全域賽局 ； noisy rational expectation equilibrium ； endogenous public signal ； private signal ； multiple equilibriums ； global game

中山管理評論

18卷2期（2010 / 06 / 01）

447 - 482

繁體中文

本文針對有不同信號精確度類型的投資人模型，利用全域賽局技巧，探討人們在基本面不確定以及不同股利報酬假設下的均衡條件，並找出金融市場透明化效果對交易策略的影響，建議一些可能的管理規範。結果發現公開信號的精確度會隨著私有信號的精確度增加而增加。其次，不論股利是內生或外生，多元均衡條件會決定於資產供需相對價格彈性。第三，股利報酬外生時，不論非資訊交易者私有信號的精確度如何，透明化政策絕對有助於單一均衡成立。最後，在內生股利報酬例子中，決定單一均衡成立的要素需視非資訊交易者私有信號的精確度而定，而非完全取決於的透明化效應。

How transparency in financial market influences equilibrium condition, ad hoc multiplicity, is rarely to explore. This study focuses on the market-clearing condition, based on a noisy rational expectations equilibrium and using the global game technique to proposes a policy effect and the variant of equilibrium in financial market. The after which conclusions can be drawn if transparent policy in financial market is implemented. First, the precision of endogenous public signals is positively related to that of private signals. Second, irrespective of exogenous or endogenous dividend, multiple equilibriums are perfectly decided by the relative price elasticity of asset supply and demand. Thirdly, all else equal, regardless of the precision of private signals of uninformed traders, financial market transparency cannot prevent from the vanishing of multiplicity under exogenous dividend return. Finally, when dividend return is endogenous, the unique equilibrium condition is partly determined by the precision of private signals from uninformed traders rather than perfectly by a policy of market transparency.

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