政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/84668

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Title:	金融市場訊息的公開揭露與配置 On the public disclosure and the allocation of information in financial markets
Authors:	郭照榮 Kuo, Chau-Jung
Contributors:	汪義育林祖嘉郭照榮 Kuo, Chau-Jung
Date:	1992
Issue Date:	2016-04-14 14:07:02 (UTC+8)
Abstract:	本研究首先為典型的跨期消費理論如何過渡至金融投資理論之間的橋樑，特別是，當未來不確定性的狀態空間集係屬不可數集時關於訊息的測度提供一套較嚴謹的經濟分析和建構性的理論分析方法。根據這部分的基礎性理論背景，我們先研究提出既定公開制度下當被揭露的訊息為市場所有理性預期交易者都用來作為金融交易決策依據時，體系裡將存在著唯一之理性預期均衡資產價格的「非充分顯映」(non-fully revealing)假說模型，之後，再分別探討公開揭露制度下，每一個觀察公開訊息的理性預期交易者倘欲再花費情報成本從事私人訊息的蒐取活動，則他如何事前評估何樣的訊息組合可令其作金融交易決策時獲得最大之滿足，以及，市場上何樣的特定私人訊息之配置型態可以成為均衡的(viable)訊息配置並與金融交易的理性預期均衡同時達到全面性之均衡。 This dissertation firstly provides a rigorously constructive framework for the bridges between the prototype models of intertemporal consumption and the theory of financial investment, especially, for the circumstance of the uncertainty modelling and the measure of information when the state space is an uncountable set. Basing on this facility, we then present a "non-fully revealing" hypothesis model for demonstration that there exists an unique rational expectations equilibrium prices as all traders using the public disclosure information for the basis of their financial transaction decision. We further study and focus on, in the context of a public disclosure in financial markets, what kind of the particular allocation of private information and how the conditions are viable in the sense that the overall equilibrium may emerge when all traders, one some of them having decided further to acquire private information at cost before financial transactions, attempt to evaluate their information portfolio so that maximize one`s expected utility. It is shown that, in the case of "single asset-two private signals" condensing model under some quite general considerations, what the completely concentrated allocation of private information is being viable for its necessary condition is that the two private information are strictly complementary relative to the public disclosure information and asset price.
Description:	博士國立政治大學經濟學系
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002000753
Data Type:	thesis
Appears in Collections:	[Department of Economics] Theses

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