Earticle

초록

영어

In this paper, the behavioral model for informed investors is designed to demonstrate asset allocation and consumption plan under asymmetric information. The informed attempt to induce the uninformed to participate in a risky asset market. The latter, however, won’t since they perceive an adverse selection problem in that market. Four distinct features are drawn up from the theory: the demand for a risky and a riskless asset of informed investors, consumption path through informed trading, the total demand for riskless asset in a financial market, and endogenously determined bindings for asset allocation. Firstly, the demand for a risky asset is determined solely by the informed’ trading when the uninformed perceive there is an adverse selection problem in a risky asset market. Viz., when the uninformed recognize that they don’t possess information on a particular risky stock or a portfolio which the informed do. Secondly, consumption path hinges on the information precision and response to future return via return generating process established on the basis of private information. Thirdly, the total demand for riskless asset is sum of that of the informed and that of the uninformed weighted by investing money riskless asset respectively. The final finding is subsequent result from asset allocation of the informed trading. The informed investors face endogenously determined binding in allocating their wealth to riskless and risky assets in spite of no explicit restrictions on trading under information asymmetry circumstance. This sheds light on the question why investors are refrained from investing infinitely in an asset even though they are free from market frictions.

목차

Abstract
 1. Introduction
 2. Market structure and specification and the underlying assumptions for informed trading
 3.
  3.1. Optimal consumption plan of informed investors
  3.2. Demand of informed investors for a risky asset
 4. Total demand of investors for riskless asset
 5. Uninformed investors’ choice for consumption
 6. Conclusion
 References

키워드

저자

• Wonn Ho, Choi [ Seoul National University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330