On the public disclosure and the allocation of information in financial markets

本研究首先為典型的跨期消費理論如何過渡至金融投資理論之間的橋樑，特別是，當未來不確定性的狀態空間集係屬不可數集時關於訊息的測度提供一套較嚴謹的經濟分析和建構性的理論分析方法。根據這部分的基礎性理論背景，我們先研究提出既定公開制度下當被揭露的訊息為市場所有理性預期交易者都用來作為金融交易決策依據時，體系裡將存在著唯一之理性預期均衡資產價格的「非充分顯映」(non-fully revealing)假說模型，之後，再分別探討公開揭露制度下，每一個觀察公開訊息的理性預期交易者倘欲再花費情報成本從事私人訊息的蒐取活動，則他如何事前評估何樣的訊息組合可令其作金融交易決策時獲得最大之滿足，以及，市場上何樣的特定私人訊息之配置型態可以成為均衡的(viable)訊息配置並與金融交易的理性預期均衡同時達到全面性之均衡。本研究指出：在純粹公開訊息的理性預期模型裡，體系將存在著唯一的均衡價格，而且，此種均衡價格亦屬訊息的「非充分顯映」之結果。另方面，在公開揭露制度下，如果每位理性預期交易者在金融交易前皆按特定的評估準則作其私人訊息取得之決策，則當市場上只有兩種特定的私人訊息時，在相當一般化的考量下，可使特定型態的「完全集中式」私人訊息配置成為體系全面均衡下的一種均衡配置之必要條件是該兩種私人訊息相對於公開訊息及資產價格具有預測資產報酬上的絕對互補性。本文最後結論認為：在「完全集中式」的私人訊息配置型態下，良好的公開揭露制度可使市場壟斷私人訊息資源的誘因降低至最小，甚至，當公開揭露制度優越至相當程度而使得此種特定的私人訊息配置型態之均衡性遭受破壞時，純粹公開訊息的理性預期模型係最確能使整個體系仍維持著理性預期均衡的一個途徑。This dissertation firstly provides a rigorously constructive framework for the bridges between the prototype models of intertemporal consumption and the theory of financial investment, especially, for the circumstance of the uncertainty modelling and the measure of information when the state space is an uncountable set. Basing on this facility, we then present a "non-fully revealing" hypothesis model for demonstration that there exists an unique rational expectations equilibrium prices as all traders using the public disclosure information for the basis of their financial transaction decision. We further study and focus on, in the context of a public disclosure in financial markets, what kind of the particular allocation of private information and how the conditions are viable in the sense that the overall equilibrium may emerge when all traders, one some of them having decided further to acquire private information at cost before financial transactions, attempt to evaluate their information portfolio so that maximize one's expected utility. It is shown that, in the case of "single asset-two private signals" condensing model under some quite general considerations, what the completely concentrated allocation of private information is being viable for its necessary condition is that the two private information are strictly complementary relative to the public disclosure information and asset price.Furthermore, it is pointed out, that the more precision of public disclosure is, the smaller incentive of all of the privately marketed information which are concentrated within a fraction of traders. Finally, when the disclosure precision exceeds a certain level such that it may destroy the viability of the completely concentrated allocation, as this dissertation presented, a positive way where it still enable to sustain a rational expectations equilibrium in the system is that there shall be existing a rational expectations model with which only public disclosure information is included