Journal of Financial Markets, Volume 32, January 2017, Pages 97–143

相關性模糊下的有限參與

作者：Helen Hui Huang (Faculty of Business Administration, University of Regina), Shunming Zhang (China Financial Policy Research Center, School of Finance, Renmin University of China), Wei Zhu (Department of Statistics and Actuarial Science, University of Hong Kong)

摘要：本文研究相關性模糊對投資者行為和資産價格的影響。在我們的模型中，投資者同時考慮風險和模糊性後，做出投資決策。我們證明，幼稚投資者避免相關性模糊的理性決策導緻有限參與。平衡狀态下，低質資産獲得正的超額收益。平衡結果的比較統計分析顯示，幼稚投資者比重與模糊性水平的變化可以改變平衡類型，并産生安全投資轉移現象。但其對資産價格的影響并非單調。

關鍵詞：模糊厭惡；相關性模糊；一般均衡；有限參與；安全投資轉移

Limited participation under ambiguity of correlation

Helen Hui Huang (Faculty of Business Administration, University of Regina), Shunming Zhang (China Financial Policy Research Center, School of Finance, Renmin University of China), Wei Zhu (Department of Statistics and Actuarial Science, University of Hong Kong)

ABSTRACT

In this paper, we investigate the implications of correlation ambiguity for investor behaviors and asset prices. In our model, individuals' decision making incorporates both risk and ambiguity, and we demonstrate that limited participation arises from the rational decision by na?ve investors to avoid correlation ambiguity. In equilibrium, the asset with lower quality generates positive excess returns. Comparative static analysis of the equilibrium result suggests that changes in the fraction of na?ve investors and ambiguity level can alter equilibrium types and flight to quality phenomenon is observed. However, their impacts on asset prices are non-monotonic.

Keywords：Ambiguity aversion; Correlation ambiguity; General equilibrium; Limited participation; Flight to quality

原文鍊接： http://www.sciencedirect.com/science/article/pii/S1386418115300999

翻譯：黃怡文