摘要：
经典金融学理论通常将波动性视为构成股票流动性价值的因素之一,认为股票价格波动会为市场参与者带来风险,却鲜少将其作为独立的影响因素引入资产定价模型,关于波动在股票价格及收益行为中的作用可能具有风险和价值双重属性的研究尚不充分.基于市场参与者异质性假设,区别价值型参与者和市场型参与者;基于信息视角,区别知情交易者和噪音交易者;运用无套利原理和期权博弈思想,建立信息视角下基于异质信念的股票波动性价值模型.采用最小二乘蒙特卡罗模拟和海萨尼转换对模型进行求解,分析信息不完全或不对称条件下,股票波动性价值的分布特征,讨论现金红利率水平、波动率水平、信息不对称程度和时间参数等对股票波动性价值的影响.研究结果表明,决定股票波动性价值的首要因素是信息不对称程度,信息水平的差异能显著放大现金红利率、波动率、时间参数等对股票波动性价值的作用,提升股票波动性价值在股票价格构成中的贡献,甚至改变市场参与者的偏好和信念,实现其在市场型与价值型之间的转化.但不完全但对称的信息条件却只能对股票波动性价值起到抵减和干扰作用.此外,信息优势能使市场参与者对波动率水平的变化更加敏感,单位波动率水平变化导致的股票波动性价值变化更大;无论信息条件如何,股票波动性价值都随着现金红利率水平的提高而下降;无论波动表现为价值还是风险,股票波动性价值的绝对值都随时间参数的增大而增大.研究结果从理论角度解释信息水平及其状态对股票价格行为的影响,分析了股票波动性价值的作用机制及表现形式,进一步完善了现代资产定价理论;实践中,不仅能为监管部门进一步完善制度建设、强化信息监管、规范上市公司信息披露行为等政策措施提供理论依据,还能帮助市场参与者深入认识股票价格的形成过程,了解市场的微观结构特征,进而提高投资决策效率,规避风险.%The classical financial theory usually takes the volatility as one of the influencing factors of stocks′liquidity value and regards it as risk, yet rarely introduces it into the asset pricing model as an independent factor and analyzes its role in the process of stock pricing form a view of both risk and value.Based on the heterogeneity assumption of market participants, the paper distinguishes value-oriented investors and market-o-riented investors;from informational perspective, the paper sees the difference between informed traders and noise traders;using No-arbitrage Principle and Option Game Theory, the paper sets up the stocks′volatility value model from informational perspec-tive .Then, using the Least Squares Monte Carlo Simulation and Harsanyi Transformation, the paper analyzes the distribution characteristics of stocks′volatility value under the conditions of incomplete or asymmetric information,discusses how the cash div-idend, volatility level, asymmetric information and time parameter will affect on the stocks′volatility value.The results show that information asymmetry is the dominated factor in determining stocks′volatility value, and will signifi-cantly enlarge the effects of cash dividend rates, volatility level and time parameters.Asymmetric information may also enhance the contribution of volatility value in the stocks′prices structure, and even change the market participants′preferences and be-liefs, cause their transformation between value-oriented and market-oriented.However, instead of changing the direction of vola-tility value, the incomplete but symmetrical information condition can only play a role in reducing and disturbing the size of vola-tility value.In addition, information advantages will make the market participants to be more sensitive to the changes in volatility level and each unit variation of volatility level will lead to a larger change of stocks′volatility value.No matter what kind of infor-mation condition is, stocks′volatility value will always decline with the increase of stocks′cash dividend level.Regardless of whether it is value of risk, the absolute value of stocks′volatility value will keep increase with the extension of time parameters.The study successfully explains how the informational level and status will influence stocks′price behavior.In detail, it ana-lyzes the interactive mechanism and patterns of stocks′volatility value.As a whole, it may improve the modern assets pricing the-ory.In practice, for regulators, it will provide theoretical evidence to further improve the system construction, strengthen infor-mation supervision, and regulate the behavior of the listed company information disclosure.And for market participants, it may help to recognize the formation process of stock price, understand the market microstructure characteristics, then improve the effi-ciency of investment decision, and avoid the investment risk.
