1、 =s缪新琼 邹恒甫*= 41 本文以 Kyle的单期模型为基础,通过假设内部交易者无法获得对交易风险资产流动价值的完全信息及市场无法达到标准形式的半强式有效,而是一种弱式有效,重新分析了内部交易者的交易策略和最终收益,从而将 Kyle模型做了推广。本文得出的结论是,当内部交易者观测到的信号对交易资产真实流动价值存在扭曲时,内部交易者的交易行为变得更为复杂;弱式的市场有效性条件和流动价值信号的扭曲可加强内部交易者的信息垄断地位,为其相应的策略交易带来更多的收益。1oM 信号扭曲 弱有效市场 内部交易者 流动价值* j:q “zK gB umB v0AV42 L 518026 0Q: xqmia
2、o 163. com;:qv) 0Q: hzou worldbank. org。B - g,gvV g 3 Es1Y。V A,gv g v1 , gN“1Y。 B ,gvM g , V |M | 。yN, =“ YC L# il。 zs g,Kyle( 1985)| gg : =,g;M = B “g,. 2g;“ g8,5dS g ( g/)。S g T g, P gNr 0。e2u 。 UV U = B pU,9 :|Uy。e9 , V:U2= ( 12W-W2)(e2ue2v) (12)(12) T, V / 5:51 给定上述市场假设和均衡定义,均衡存在并且惟一的充分必要条件是:0B,
3、 H9 Ls, L !B NZ :p = Ev|x+ u+ k(x+ u )= Ev|x+ u+ ky (19)k , grHqS 12euev ,) I = s 1- | ,M g,V71- - lm;70 k 1H, 12 1- k1+ keuev 12euev , g =gg % Y, =gN HA |M 0g ,y7K9 ? |M lm。“B8TV , = g5 ,Hq/, Kyle( 1985) (M f0 k 1)HoldenSubrahmanyam(1992)(M- 1k 0 f)Ti V ?, i 。 C ggW RC。gvg lgM1, V 1 , g | 。 = V7 ,
4、| Z T |- lm。SBHqL !,sYV Mw Kyle(1985) , = # K| lm。=sYVL ! = ?B N ,“s =4|N e w = # lm Y, F zW 。?C, =4| L Ni e w H, =21 11 M2004 * W6缪新琼 邹恒甫 M; g | e w q1,#7 = 1 | e wf H | lm。 s XDY T grHq,7 YV Ql B T grHq。N$ , , = lm1 s AY。“B8T Hc Kyle(1985)HoldenSubrahmanyam( 1992): Hq/, Y1 vl 。 K9 A7n, 1/5:(1) I H
5、W KB 。A B |F L=, H,11 f,1 I n =g: 。 V A, | w f , vM。 (2) L ! gB I =,BL !vveL s。1“ds = ,sB = fA 。X?C, =W V g (311Y。 (3) HW , 9 B 。XV HW , s fAeL。(4) =4| e w gr Y, Me O/,S M+ y !。BZ , 6BZ ,k| ew g rSM+ yL !,yN, TL !B)。 (5) M , B_ =SBd L ! gCS d。P,9 I zWHq/ =1B1Z 。B TM1,T0 ? B T,YVB, P =“B Es1 C Lil7Ca
6、o, H. and Willard, G.“ Imperfect Competitionamong Informed Traders.” Journal of Finance 55, 2000, pp.2117- 2155.Fama, Eugene. “ Efficient Capital Markets.” Journal ofFinance 46, 1965, pp. 1575- 1617.Foster, F. D. and Viswanathan, S. “ Strategic Tradingwhen Agents Forecast the Forecasts of Others.” J
7、ournal ofFinance 51, 1996, pp. 1437- 1478.Holden, C. and Subrahmanyam, A. “ Long-lived PrivateInformation and Imperfect Competition.” Journal of Finance 47,1992, pp. 247- 270.Hong, H. and Rady, S.“ Strategic Trading and Learningabout Liquidity.” Journal of Financial Markets 5, 2002, pp. 419- 450.Kyl
8、e, A. “ Continuous Auctions and Insider Trading.”Econometrica 53, 1985, pp. 1315- 1336.Kyle, A. and Wang, Albert. “ Speculation Duopoly withAgreement to Disagree: Can Overconfidence Survive the MarketTest?” Journal of Finance 52, 1997, pp. 2073- 2090.Wang, Jiang.“ A M odel of Competitive Stocking TradingVolume.” Journal of Political Economy 102, 1994, pp. 127-168.(截稿: 2004年 6月 责任编辑:宋志刚)22 11 M2004 * W6=s
