奈特不确定性与非流动资产定价：理论与实证
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| Title | Illiquid Asset Pricing under Knightian Uncertainty: Theory and Evidence
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| 作者 | 高金窑 |
| Author | Jinyao Gao |
| 作者单位 | 山东大学经济学院 |
| Organization | School of economics, Shandong University, Jinan |
| 作者Email | gaojinyao@gmail.com |
| 中文关键词 | 奈特不确定性 流动性约束 非流动资产 资产定价 |
| Key Words | Knightian Uncertainty; Trading Restrictions; Illiquid Asset; Asset Pricing |
| 内容提要 | 相对于二级市场价格来说，我国的非流通股平均折价65.2%；如此高的折价，除了交易限制所造成的风险非分散化之外，还有一个重要原因——奈特不确定性的影响。本文利用连续时间模型研究了奈特不确定条件下交易受限投资者的决策行为，并得到了奈特不确定性影响非流动资产折价的机理。理论分析发现，非流动资产的折价率随着奈特不确定性的增加而提高，并且投资者的资产配置策略与消费策略也与风险环境下的结论不同；这源于奈特不确定性的影响具有一阶效应，并且无法对冲。基于非流通股协议转让与拍卖的数据，本文实证发现奈特不确定性对非流通股折价具有较强的解释能力；但是波动率指标却不显著，这表明我国非流通股折价更多地源于奈特不确定性而非风险的影响。 |
| Abstract | Compared with common shares, the illiquid shares in China have a price discount about 65.2% on average. Except for the risk under-diversification caused by trading restrictions, there is another variable responsible for the price discount -- Knightian uncertainty. We approach the illiquid asset pricing problem by developing a continuous time model under Knightian uncertainty and analyze the shareholders’ behaviors in the uncertainty environment. The results show that Knightian uncertainty rises the price discounts of illiquid assets, can’t be hedged using other assets, and has first order effect on the optimal investment and consumption strategy. Using transaction data of illiquid stocks in China, we find that Knightian uncertainty can explain the price discount to a large extent, but the regression coefficient of volatility is not very significant. This empirical evidence supports the conclusion that Knightian uncertainty dominates the price discount phenomena in China. |
| 文章编号 | WP415 |
| 登载时间 | 2013-02-04 |
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