信息不对称、过度自信与股价变动

信息传导的非同步和投资者情绪变化是股票市场的两个典型特征,前者会引发投资者之间出现信息不对称问题,后者主要体现为投资者过度自信,两者共同作用影响股票价格变动。本文将信息不对称和投资者过度自信情绪置于同一个分析框架,建立两阶段动态序贯定价理论模型研究现实市场上信息传导过程中股价变动的内在机制。结果表明:(1)面临新信息的进入,投资者对股票收益预期的调整与均衡价格之间具有正相关关系;(2)面临有利消息时,过度自信投资者比例越大,股票的均衡价格越高,投资收益将越低;面临不利消息时则相反;(3)随着过度自信投资者比例以及过度自信程度升高,市场风险溢价将下降;(4)投资者群体在信息传导过程中出现分化,对股价变动形成异质信念,未获取信息和获取信息但未出现过度自信的投资者认为股价被高估,获取信息且出现过度自信的投资者认为价格被低估,促使更多的交易,引发市场成交量和股价变动;(5)过度自信投资者比例与过度自信程度提高均会对市场效率产生正向影响,而对市场深度具有负向效应。最后,基于理论结果对非对称性和持续性等典型的市场波动性特征进行解释。

Information Asymmetry,Overconfidence,and Stock Price Changes

Both the non-synchronization of information transmission and investors' sentiments are typical characteristics of financial markets. The former creates information asymmetry, and the latter can lead to the overconfidence of investors. However, few studies consider how information asymmetry can arise from the process of information transmission or how the processing and updating of new information may trigger overconfidence of investors. Both these processes can affect stock prices and the explanatory power of existing models. Incorporating these sources of information asymmetry and investors' overconfidence into the traditional financial analytical framework has important theoretical and practical implications and deepens our understanding of the internal logic of stock price changes. This study incorporates information asymmetry and investors' overconfidence into the traditional analytical framework and examines how the process of information transmission in real markets affects stock prices. Following Easley and Hara (2004), we model the transmission process of information as a gradual flow of information, which endogenously generates information asymmetry between investors. We then introduce one of the typical psychological characteristics of investors—overconfidence—and establish a two-stage dynamic sequential pricing model to explore whether stock prices are driven by the dual factors of information asymmetry and investors' overconfidence. The main results show that first when investors are presented with new information, adjustments in their expectations of stock returns are positively correlated with the equilibrium price of stocks, that is, increasing investors' expectations of stock returns increases the equilibrium price of stocks, and vice versa. Second, when presented with good news, the proportion of investors who are overconfident tends to increase, the equilibrium prices of stocks increase, and stock returns decline. When presented with bad news, the proportion of investors who are overconfident tends to increase, and both the equilibrium price of stocks and investment loss decline.Third, as the proportion of overconfident investors and the degree of overconfidence increase, the market risk premium decreases. Fourth, investor groups diverge during the process of information transmission, forming heterogeneous beliefs; specifically, investors who have not obtained information and who have not become overconfident think that the stock price is overvalued, whereas investors who have obtained information and who are overconfident think that the price is undervalued, which triggers changes in market volume and stock prices. Fifth, both the proportion of overconfident investors and the increase in overconfidence have a positive impact on market efficiency but a negative effect on market depth. Finally, we use the theoretical results of this study to explain typical volatility characteristics such as asymmetric effects and volatility persistence in real markets. This study extends the literature in three ways. First, it examines how the gradual flow of information into the stock markets creates potential information asymmetry among investors, which affects the formation of equilibrium stock prices. This is a useful supplement to research on information transmission in the stock markets. Second, based on the self-attribution bias theory, we incorporate a typical behavioral bias of investors￣￣—overconfidence—into our model of the information transmission process, which allows us to consider more realistic market environments. We then explore how stock price formation and changes are driven by the dual factors of information asymmetry and investors' overconfidence, expanding the research on stock pricing and price changes. Finally, we use our theoretical results to analyze market price fluctuations, and find that we can explain typical features such as asymmetry and persistence. This enhances the understanding of the logic of stock price changes in real markets.