Model Uncertainty, Limited Market Participation and Asset Prices
2004/05/04
研討會日期 : 2004-05-04
時間 : 15:00
主講人 : 王 坦
地點 : C棟103室
演講者簡介 : 王坦教授為Ph.D.，Toronto (1992)。
現為VSE Professor of Finance，The University of British Columbia。
他的主要研究領域為經濟理論和金融理論等，並已在許多國際頂尖學術期刊發表論文，其中包括Econometrica, Journal of Economic Theory, Journal of Finance及Review of Financial Studies。
演講摘要 : We demonstrate that limited participation can arise endogenously in the presence of model uncertainty and heterogeneous uncertainty averse investors. When uncertainty dispersion among investors is small, full participation prevails in equilibrium. In such an equilibrium, equity premium is related to the average uncertainty among investors and a conglomerate trades at a price equal to the sum of its single segment components. When uncertainty dispersion is large, however, investors with relatively high uncertainty optimally choose not to participate in the stock market, resulting in limited market participation in equilibrium.Moreover, when limited participation occurs, participation rate and equity premium can decrease in uncertainty dispersion and a conglomerate trades at a discount relative to its single segment components.
