- 作者: 林宜勉; 王泰昌; 蔡彥卿
- 作者服務機構: 國立中興大學會計學系(台中校區); 國立臺灣大學會計學系
- 中文摘要: 本文以兩期干擾理性預期均衡模式來證明,當交易者對股價與會計訊號問之關係有理性推測時,第一期的私有資訊誤差項與第二期公開資訊誤差項間之相關性以及資訊品質如何影響價格變動。我們也提出一些數值例子來驗證,訊號之誤差相關程度對價格變動變異數之影響。模式結果顯示,當我們觀察價格變動與私有訊號之關係時,價格變動與訊號誤差相關係數之間並非呈單調關係,而是第二期價格對非常高與非常低的相關訊號均很敏感。然而當我們檢驗公開訊號對價格變動的影響時,第二期價格與訊號間卻呈反向關係;換言之,當誤差相關係數愈大時,股價變動愈小,反之亦然。此外,數值例子也指出,兩期訊號的誤差相關係數並非股價變動變異性之唯一決定因素,其亦受風險性資產的未來報酬不確定性和供給干擾、以及公開與私有訊號準確性的影響。
- 英文摘要: This paper investigates a setting where traders have rational conjectures about the relationship betweenthe price change and signals. A two-period noisy rational expectations equilibrium model is used todemonstrate how the correlation between the errors in public and private signals affects the relationshipbetween the price change and a given information signal. We also present some numerical examples toexamine the effect of correlated signal errors on price change variability. Our model shows that there does notexist a monotonic relationship between price change and private signals, and price reactions at time 2 aresensitive to sufficiently large and small correlations between information. However, an inverse price-signalrelation occurs if we examine the effect of a public signal on the price change. That is, the newly announcedinformation is relatively more important to traders at a low level of signal correlation, and thus has a largerimpact on their beliefs. Furthermore, the numerical analysis indicates that the correlation between the signalerrors in both periods is not the only determinant of price change variability; it is also influenced by the futurepayoff uncertainty, the supply disturbance of the risky asset, and the accuracy of the public and private signals.
- 中文關鍵字: 干擾理性預期均衡; 價格變動; 相關訊號; 資訊揭露
- 英文關鍵字: noisy rational expectations equilibrium; price change; correlated signals; information release