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研究了资产市场的一般跨期均衡问题,通过对知情交易者和非知情交易者的需求分析,讨论存在内幕信息情况下的市场需求情况,从而给出了市场出清时的均衡条件和内幕信息情况下的三“基金”分离定理。结果显示,资产市场的均衡随内幕信息的变化而变化,并受知情交易者占总交易者比例的影响;当无风险利率为常数时,通过市场均衡条件给出了存在内幕信息情况下的证券市场线,发现内幕信息是资产收益的一个影响因子。
This paper studies the general intertemporal equilibrium problem in asset markets. By analyzing the demand of informed traders and uninformed traders, we discuss the market demand in the presence of insider information, and then give the equilibrium conditions and inside information when the market is cleared The case of the three “fund ” separation theorem. The results show that the equilibrium of asset market changes with the change of inside information and is affected by the proportion of informed traders in the total traders. When the risk-free interest rate is constant, the securities under the condition of inside information are given through market equilibrium Market lines, found that insider information is an asset return of an impact factor.