Asymmetric Information, Ability Difference, and Changing Individual Investors

ジョウホウ ノ ヒ タイショウ セイ ノウリョク ノ ヒ タイショウ セイ ト コジン トウシカ ノ ヘンカ

Qin, Jie

The Economic Society of Osaka University

オオサカ　ダイガク　ケイザイ　ガッカイ

能力の非対称性

個人投資家

証券市場安定性

asymmetric information

ability difference

individual investors

market stability

This paper examines trading strategies and asset pricing in a market where asymmetric information and ability difference exists among institutional investors, sophisticated individual investors, and unsophisticated individual investors. Institutional investors have a private signal about a risky asset. Sophisticated individual investors have no private information, but they have the ability of Bayesian inference. Unsophisticated individual investors have neither private signal nor Bayesian inference ability. It is shown that a linear equilibrium exists in this economy. It is also found that when the population of sophisticated individual investors increases, the information efficiency of the market will not change, while the price of the risky security will become more volatile. In the real word, it is reasonable to expect that the proportion of sophisticated investors among individual investors will increase because of convenient internet accesses, affluent public information, and investment education. However, this model suggests that in such situations, some keys problems of security markets will not be easily solved: market efficiency will not be improved, while security price may become even more volatile.