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題 名 | 會計資訊對股價變動之影響 |
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作 者 | 林宜勉; | 書刊名 | 國立中興大學臺中夜間部學報 |
卷 期 | 1 1995.11[民84.11] |
頁 次 | 頁265-285 |
分類號 | 563.54 |
關鍵詞 | 瓦拉斯均衡; 價格變動; 資訊誤差相關係數; Walrasian equilibrium; Price changes; Correlation coefficient of signals' Errors; |
語 文 | 中文(Chinese) |
中文摘要 | 本文主要是討論在兩期瓦拉斯均衡下,若投資人在前期取得私有資訊而且公司在 後期公開宣告會計資訊時,則此兩種資訊將對證券價格產生何種影響。吾人首先利用動態規 劃法來解出兩期均衡價格。其次,運用理論模式以探討兩期訊號間的相關性與股價變動存在 何種關係。最後,藉由模擬技術提出一些數值例子來驗證理論結果。而由模式中獲知,在其 它情況不變下,價格變動與公開訊號之間存在反向關係,但平均私有訊號和價格變動期間則 無此種關係。另外,模擬結果顯示,兩個前後期發生的資訊之誤差相關係數愈大,價格變動 不一定愈大;反之,價格變動未必愈小。換言之,價格變動不僅受到前後期資訊之相關性、 風險性資產未來償付的變異、公開資訊共同誤差的變異、私有資訊共同誤差的變異和個別誤 差的變異等因素之影響,並且也與市場上無法消除的風險有關。 |
英文摘要 | This paper investigates how close the relationship between the errors of both signals effects the price changes in a two-period (three-date) Walrasian equilibrium. Assuming that traders receive a private signal at the first trading date and a public signal releases at the second round. Also, I present some numerical examples to examine the effects of signals' correlated errors on the price changes. We obtain two results. The first result is that if other things are equal, the period 2 price reaction is very sensitive for sufficiently high or small correlated information when we observe the relation between price changes and private signal. On the other hand, if other things are equal, there exists an inverse price-signal relation as I investrigate the effect of public signal on the change in price. Second, we present some examples to show that correlated signal errors alone do not determine traders' behaviors. The price changes are not only influenced by the correlation between private signal at time 1 and a time 2 public signal, but are also affected by the supply disturbance and the future payoff of risky asset as well as the precisions of traders' private and announced information. Furthermore, the price changes are also reflected by other thing, that is, the unpredictable noise in the market. |
本系統中英文摘要資訊取自各篇刊載內容。