【摘要】 本文从简化的假设和模型出发 ,从理论上得到资本资产定价模型与信息不对称之间的关系 ,从而从原理上说明信息向资产价格传导的机理。本文得到的主要结论是 :(1 )在其他条件相同的情况下 ,如果投资者对资产的预期提高 ,则资产的均衡价格升高 ;反之则相反。 (2 )如果是有利的信息 ,那么获得信息的投资者的比例越小 ,资产的均衡价格就越高 ,收益就越大 ;如果是不利的信息 ,那么获得信息的投资者的比例越大 ,则损失越大。 (3 )获得信息的投资者的比例越大 ,则整个市场的风险溢价水平也越低。这些结论可以部分解释我国证券市场存在的一些现象和问题。针对利用信息不对称操纵股票价格的问题 ,本文提出了政策建议更多还原

【Abstract】 Asymmetrical information is admitted by the empirical study in almost all markets around the world, our paper is considering the asset pricing when the investor who get the information will change their expectation about the future payoff of the asset, and we assume the investor will change the expectation according the Bayesian Law. Some conclusion are as following: (i)The excessive return of the asset is correlated not only with the market return but also with the factors which will affect the expectation of the asset payoff. (ii)If the new arrival information can affect the investor’s expectation ,the information will change the asset return accordingly. (iii)In a market with asymmetrical information, the more asymmetric degree of the market will be, the larger the risk premium is.更多还原