Research On Investors' Strategic Trading Under Heterogeneous Information Structure

In the traditional theoretical model of rational expectation equilibrium,asset pricing research is mostly based on the assumption of a single fundamental.In fact,asset price is often affected by fundamentals in many different dimensions,such as macroeconomics,corporate finance,and patented technology.There are many differences in the way investors obtain information,the time of information acquisition,and their ability to understand information.Therefore,the information heterogeneity brought about by multiple fundamentals has evolved into the heterogeneity of the investor's information structure.Obtaining fundamental information is equivalent to knowing the future trend of asset prices.Investors can make risk premium adjustments based on the information and form corresponding trading strategies.For different information structures,the strategies which investors use information to trade will be different.At the same time,the problem of information endogenousness and balanced multiplicity accompanied by information heterogeneity will make the strategy solution complicated.In order to describe the increasingly complex financial market,it is necessary to analyze the trading strategies formed by investors in multi-fundamental markets from the perspective of information heterogeneity.This paper further provides theoretical basis and application reference for academic research and practical operation.This research introduces heterogeneous information structure,constructs information acquisition model and information disclosure model under the framework of rational expectations.We also focus on discussing the internal mechanism of the interaction between investors' trading strategies to obtain different information and the changing laws of market characteristics,studying market equilibrium conditions.Market micro-characteristics such as market liquidity,price information content,expected transaction volume and social welfare which under the heterogeneous information structure are also the contents of our research.The main conclusions of this article are as follows:First,in the information acquisition model:(1)under the heterogeneous information structure,the value-investors who have the information related to the fundamentals will adopt the "Speculating" strategy and the technic-investors who obtain the flows of demand signal in stock market will adopt the "Positive feedback" strategy and the "Offsetting" strategy.(2)Different expectations of technic-investors on demand signals will make them adopt different intensity of the "Offsetting" strategies,which lead to multiple equilibria in the financial market.(3)In the information market,as the fraction of value-investors increases,the price of both equilibria will reveal more information about stock fundamental value,making it easier for technic-investors to free-ride on the security price.In this case,value-investors' utility of obtaining fundamental signals decreases,making information acquisition in both equilibria strategically substitutable.Second,in the information disclosure model:(1)in heterogeneous information structure market of two fundamentals,regardless of information disclosure or not,two types of informed traders keep adopting the "Speculating"strategy and the "Market-making" strategy.In the process of information disclosure,the heterogeneous informed traders with enhanced their information advantage will crowd some trading of the homologous informed traders out of the market.(2)When the trading intensity of investors is more than a certain threshold,the interaction between the trading intensities is shown as strategically complementary,and when the trading intensity is less than the threshold,the interaction between the trading intensities is shown as strategically substitutability.Information disclosure makes strategically substitutability easier,which reduces the risk of adverse selection and weakens the impact of informed trading in the market and increases the stability of the financial market ultimately.(3)When the information is fully revealed,the market liquidity is the best and the profit of informed traders is the most,however,which may leads to the low price informativeness and the deterioration of market efficiency.This study analyzes and discusses the investor's research strategy and the impact of public disclosure on the financial market in a heterogeneous information market.The study finds that the information disclosed by companies in this market is not as accurate as possible.Mandatory disclosure may lead to bad results.The conclusions of the study will enrich the theory of rational expectation equilibrium,and at the same time provide effective suggestions for the regulatory authorities in formulating relevant systems for information disclosure.