巫和懋2006-07-262018-06-292006-07-262018-06-292005http://ntur.lib.ntu.edu.tw//handle/246246/17050本研究計畫探討在不完全資產市場下， 信念結構對交易量與資產報酬波動會有何 種影響。本計畫允許投資者效用函數具有 風險趨避(risk aversion)特性，而且投資者 擁有異質信念(heterogeneous beliefs)。本研 究發現內生決定的均衡價格會偏離理性預 期均衡而且產生波動擴大效應(price amplification effects)。本研究同時發現在某 些條件下會產生交易量與價格波動和價格 水準產生正相關的現象，而且價格波動程 度與交易量會隨經濟體系中的信念結構而改變。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.application/pdf202137 bytesapplication/pdfzh-TW國立臺灣大學國際企業學系暨研究所風險趨避異質信念價格波動交易量不完全資產市場Risk aversionheterogeneous beliefsprice volatilitytrading volumeincomplete asset markets異質信念下的交易量與資產報酬波動Trading Volume and Asset Returns with Heterogeneous Beliefsreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/17050/1/932416H002020.pdf