Research On The Relationship Between Information Risk And Asset Price Behavior Based On High-frequency Data

The Fin Tech development and digital economy globalization have greatly promoted the distribution and spreading of information.Fin Tech,represented by big data,artificial intelligence,cloud computing,etc.,has transformed the traditional way of information transmission and updating,which profoundly changes financial market.Under this backround,the classical information asymmetry displays some new features.In particular,the reform of financal system and new technology make the securities market more complicated.It also inevitably brings great challenges for past theories and research conclusions to explain the new information risk.However,with the significant development of computer technology,the application of high-frequency data in financial market is becoming more and more extensive,which brings feasibility for related research.Therefore,high-frequency data is used to measure information risk and this studies furthermore theoretically and empirically analyze the relationship between information risk and asset price behavior,in ordr to provide reference and inspiration for government super vision and investor decision-making,especially for the implementation of the registration system.Using high-frequency data of listed common stock and IPO stock,this paper studies the effects of information risk on asset price behavior under the framewor k of rational expectation theory,opinion divergence theory and market microstructure theory.Specifically,from a relative micro perspective,this paper studies the effects of investor decision-making,i.e.,investors' learning with uncertainty,heterogen eous learning,long-term expection and moral hazard,on the relationship between information risk and asset price.And from a relative macro perspective,this paper analyzes some affecting factors of information risk,such as IPO book-building reform and information disclosure,on the relationship between information risk and asset price.This studies are focused on the impact of information risk on investor decision-making,and provide systematical explains on the mechanism of the impact of information risk on asset prices.This paper clearly gives and makes a distinction between narrow information asymmetry and general information asymmetry.Our work and innovations can be addressed as follows:First,this paper extends the hypothesis of rational expectati on model that non-informed traders definitely learn information from price,and introduces learning behavior with uncertainty for non-informed investors.A theoretical model is developed to analyze the impact of investors‘learning with uncertainty on the relationship between information risk and asset price.This model shows that the uncertainty brings inversion effect for the relationship between information risk and asset price,and also finds that information accuracy has an increasing marginal effects on them.In the empirical study,a method is proposed to test the investors‘learning with uncertainty by using the relationship between herding effect and information risk.Based on above theoretical implications,this study empirically tests the impact of IPO book-building reform on the relationship between information risk and IPO premium.Second,this paper incorporates heterogeneous learning behavior of uninformed traders into rational expectation model which merely assumes that uninformed traders are passive information recipients and thus disadvantaged.This paper constucts a model which jointly models the learning behavior of rational expectation theory and opinion divergence theory.It is proved that the heterogeneous learning behavior of uninformed traders increases the information content of equilibrium price and reduces the expected returns of informed traders.And also this model shows that the learning behavior of uninformed traders increases the marginal effect of informed trading on expected returns.In the empirical test,after controlling the influence of short selling restriction and liquidity factors,the empirical results still support the theoretical conclusions.Then,to remove the limitation of decision-making on maximizing the short-term returns,this studies expand short-trem decision-making into long-term situation and incorporate the impact of long-term returns on investors' decision-making.It is proved that the disclosed information is negatively correlated with the first-day IPO returns,and the disclosed information that is the public information reduces the deviation of secondary market price from primary market price.In the empirical study,PSOS proxy is used to measure the degree of investors' response to the disclosed information,and the rationality of the indicator is verified by the likelihood ratio test.Finally,this paper considers the moral hazard of the institutional investors caused by the information-based profits in secondary market,and analyzes the mechanism of its influence on institutional investors' quotes with the IPO allocation rules using theoretical and empirical models.The theoretical model shows that the information-based profts in secondary market make institutional investors bid inadequately.In order to reduce the moral hazard of the inadequate quotation,the market maxes the subscription share of institutional investors with high bidding price,resulting in a high tendency to overbid for institutional investors.We analyze the overbidding behavior of different type of institutional investors and the overbidding behavior in different industries and in different stages,showing that the tendency of overbidding is affected differently by the information-based profits in secondary market.