Model Uncertainty, Limited Market Participation, and Asset Prices
证明，在模型不确定性和异质不确定性厌恶投资者存在时，有限市场参与可以内生出现。当投资者间不确定性分散较小时，市场完全参与；分散较大时，高不确定性投资者选择不参与，导致有限参与，此时参与率和股权溢价可能随分散度下降，联合企业折价交易。
We demonstrate that limited participation can arise endogenously in the presence of model uncertainty and heterogeneous uncertainty-averse investors. When uncertainty dispersion among investors is small, full participation prevails in equilibrium. Equity premium is related to the average uncertainty among investors and a conglomerate trades at a price equal to the sum of its single-segment components. When uncertainty dispersion is large, investors with high uncertainty choose not to participate in the stock market, resulting in limited market participation. When limited participation occurs, participation rate and equity premium can decrease in uncertainty dispersion and a conglomerate trades at a discount. Copyright 2005, Oxford University Press.