Information Distribution and the Informative Efficiency

Abstract

本研究提供建構股價模型之理論基礎。研究中特別將私人訊息分配之情形納入模型中，並假設投資人之絕對風險厭惡係數爲常數，各自追求預期效用極大，得出市場結清均衡時，均衡價格爲市場訊息按照其精確度與觀察頻率之乘積加權平均。主要發現有：第一，市場訊息分配均等將導致均衡價格取代私人訊息而成爲市場中各種訊息之充分統計量，此時證券市場具有資訊效率，投資人失去蒐集私人訊息之動機。第二，市場訊息分配與資訊觀察值成正比爲市場具有資訊效率之充要條件。然實際上述條件難以成就，投資人仍具有蒐集私人資訊之動機。

This paper investigates the determinants of the informative efficiency of the stock market. In different to previous studies, the paper considers the factor of ”information distribution” and shows that the equilibrium price aggregates the market information according to their information frequency and precision. It is shown that if the distribution of market information is equal, then the equilibrium price serves as a sufficient statistic for the market information. When all the market information frequencies are proportional to the information observed, the equilibrium price is a sufficient statistic for market information. However, the market information is not equally allocated; it is impossibility for price informativeness. The traders still have an incentive to collect and to search for valuable information to improve their estimate of the true value of the risky asset. This will be helpful to build a stable model of stock market.