The Role of Public Information in Capital Markets with Investors of Unknown Risk Attitudes
研究了当投资者不了解其他市场参与者的风险态度时，公共信息如何降低风险溢价、促进市场参与，对理解会计信息披露的价值有参考意义。
We consider a single-period, pure-exchange setting where investors have mean-variance preferences. Investors are uncertain about the risk attitudes of other capital market participants and, thus, about the market's risk premium. Assuming that there are no strategic interactions among investors, we identify conditions under which investors choose to abstain from trading in the capital market due to the risk associated with an uncertain risk premium. In addition, we find that investors may prefer the disclosure of public information prior to trading, as this information reduces the risk premium and thus relaxes the condition for market participation. Therefore, the presence of investors with unknown risk attitudes suggests a beneficial role for public (accounting) information.