Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
研究了多资产经济中知情与不知情投资者及噪声交易者构成的噪声理性预期均衡，推导出非对称信息下的三因子CAPM，发现信息不对称放大收益偏度对资产回报的影响，并揭示波动率衍生品如何使不完全市场变得有效。
Abstract We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The assets can include state contingent claims such as Arrow–Debreu securities, assets with only positive payoffs, options or other derivative securities. The probabilities of states depend on an aggregate shock, which is observed only by the informed investor. We derive a three-factor CAPM with asymmetric information, establish conditions under which asset prices reveal information about the shock, and show that information asymmetry amplifies the effects of payoff skewness on asset returns. We also find that volatility derivatives make incomplete markets effectively complete, and their prices quantify market illiquidity and shadow value of information to uninformed investors.