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

相关性模糊下的有限参与

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：本文研究相关性模糊对投资者行为和资产价格的影响。在我们的模型中，投资者同时考虑风险和模糊性后，做出投资决策。我们证明，幼稚投资者避免相关性模糊的理性决策导致有限参与。平衡状态下，低质资产获得正的超额收益。平衡结果的比较统计分析显示，幼稚投资者比重与模糊性水平的变化可以改变平衡类型，并产生安全投资转移现象。但其对资产价格的影响并非单调。

关键词：模糊厌恶；相关性模糊；一般均衡；有限参与；安全投资转移

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

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418115300999

翻译：黄怡文