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異質信念下的交易量與資產報酬波動
Other Title
Trading Volume and Asset Returns with Heterogeneous Beliefs
Date Issued
2005
Date
2005
Author(s)
巫和懋
DOI
932416H002020
Abstract
The purpose of this research is to
study the properties of trading volume and
asset returns when participants trading in
incomplete financial markets have
heterogeneous beliefs and risk-averse utility
functions. In such a framework, equilibrium
prices are shown to be different from the
rational expectations equilibrium prices. We
also demonstrate the presence of price
amplification effects. In addition, we
characterize a positive relationship between
trading volume and the direction of price
changes. Furthermore, the fluctuations in
asset returns and trading volume are shown
to be influenced by the structure of beliefs in the economy.
study the properties of trading volume and
asset returns when participants trading in
incomplete financial markets have
heterogeneous beliefs and risk-averse utility
functions. In such a framework, equilibrium
prices are shown to be different from the
rational expectations equilibrium prices. We
also demonstrate the presence of price
amplification effects. In addition, we
characterize a positive relationship between
trading volume and the direction of price
changes. Furthermore, the fluctuations in
asset returns and trading volume are shown
to be influenced by the structure of beliefs in the economy.
Subjects
Risk aversion
heterogeneous
beliefs
beliefs
price volatility
trading
volume
volume
incomplete asset markets
Publisher
臺北市:國立臺灣大學國際企業學系暨研究所
Coverage
計畫年度:93;起迄日期:2004-08-01/2005-07-31
Type
report
File(s)
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Name
932416H002020.pdf
Size
197.4 KB
Format
Adobe PDF
Checksum
(MD5):752032c8448e5671f52d9e0109ea2c60