Journal of Banking and Finance ·Volume 89, Pages 209-224· APR 2018

了解噪音

作者：Paul Marmora (Randolph-Macon College, Saint Anselm College)

Oleg Rytchkov (Fox School of Business, Temple University)

摘要：本文研究了非基本面信息的获取（对噪音的了解）是如何影响金融市场的。我们建立了一个理性预期模型，投资者拥有质量不一的基本面和非基本面信息，并在基本面和噪音之间最优化地分配学习能力。我们证明，了解噪音会提高价格信息量，并且当大多数投资者获得非基本面信息时，价格的信息含量最高。我们还发现，i）先前的基本面信息相比于与非基本面信息更精确（不精确）的投资者仅了解基本面信息（噪音），ii）对基本面信息（噪音）的了解会增加（减少）投资者之间的基本面信息质量的异质性。

关键词：理性预期；信息获取；熵；价格信息量

Learning about noise

Paul Marmora (Randolph-Macon College, Saint Anselm College) Oleg Rytchkov (Fox School of Business, Temple University)

ABSTRACT

This paper studies how acquisition of non-fundamental information (learning about noise) affects financial markets. We develop a rational expectations model with investors who are endowed with fundamental and non-fundamental information of heterogeneous quality and who optimally allocate learning capacity between fundamentals and noise. We demonstrate that learning about noise increases price informativeness, and the price can be the most informative when the majority of investors acquire non-fundamental information. We also find that i) investors whose prior fundamental information is relatively precise (imprecise) compared to their prior non-fundamental information learn only about fundamentals (noise) and ii) learning about fundamentals (noise) increases (decreases) the heterogeneity in the fundamental information quality across investors.

Keywords: Rational expectations; Information acquisition; Entropy; Price informativeness

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618300360

翻译：张展