金融资产定价异常现象研究综述及其对新资产定价理论的启示

论文首先通过建立模型分析了在不同知情消费者比例下价格离散的结构形式,理论剖析了在搜索成本明显下降的电子商务市场,价格离散仍然持续存在的客观原因;进而运用在北京地区的93家电子商务零售网站、9大类535款商品、6313个价格样本数据检验了中国电子商务市场价格离散的情况,研究了其价格离散成因。结果表明在电子商务市场上,价格离散将持续存在,知情消费者比例与价格离散指标之间并不是一个单调关系;零售商特征,尤其是市场特征影响价格离散,各类零售商的定价依据不同。

A REVIEW OF FINANCIAL ASSET PRICING ANORMALIES AND ITS IMPLICATIONS TO A NEW ASSET PRICING THEORY

This paper first builds up several models to study price dispersion with different proportions of informed consumers in the market.We analyze the reasons for the existence of price dispersion when searching costs in e-commerce markets are declining.Using a sample of 93 e-commerce websites that cover nine categories of products,535 items,and 6 313 prices,the empirical part of the paper tests the implications of the models.We find that prices have not converged in China's e-commerce markets.There is no monoto...