資訊交易之相關文獻，無論是競爭性理性預期模型或是不完全競爭的策略性模型，普遍假設資訊者一拿到私有資訊，就會立即進行不同程度的資訊交易；事實上，股票市場存在資訊者可能先進行非資訊交易，默默進貨，之後再進行資訊交易的交易型態，本文利用多期競爭性理性預期模型，證明在特定條件下，延後資訊交易，符合資訊者的利益，再而探討延後資訊交易的影響，我們發現股票可能會有動能效果，而且，已知資訊不對稱下，價格波動高於對稱資訊的價格波動，而延後資訊交易的價格波動更高於立即進行資訊交易的價格波動，以上現象可解釋股票市場的另一部份實況。

In standard models of informed trading, they implicitly assume that all informed traders receive their information at the same time and then trade on their private information immediately, whether competitive or imperfect competitive（strategic）rational expectations model, differing on the speed of information revelation. In reality, the informed traders may quietly and skillfully perform noninformational trading to accumulate their “line” cheaply. In this paper, we develop the multiperiod competitive rational expectations model with asymmetric information to show, under some conditions, delaying their informed trades is in the interests of informed traders; then we explore the implications of our model for the behavior of stock price, especially we find that, delaying the informed trades may increase price volatility and display the momentum effect, consistent with the empirical results.

摘要 iv
第一章導論 1
第二章文獻回顧 4
第一節 Kyle（1985）不完全競爭資訊不對稱模型與相關文獻 5
第二節 Hirshleifer, Subrahmanyam與Titman（1994）群聚資訊模型與相關文獻 7
第三節 Grossman-Stiglitz（1980）競爭性資訊不對稱模型與相關文獻 10
第三章延後資訊交易與其影響 14
第一節 模型設定 14
第二節 均衡 16
第三節 資訊交易時機的選擇 28
第四節 風險溢酬理論 33
第五節 價格波動與序列相關 36
第六節 討論 41
第三章 結論 44
參考文獻 47
附錄 52
圖1策略一、二之預期效用是資訊者比例M之函數 69
圖 2. 策略一、二之預期效用是私有資訊精確度 之函數 70

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