Title：Information Asymmetry, Non-Learnable Payoff and the Cost of Capital

　　Schedule：Dec 8, Wed 12:00-1:00 PM

　　Location：Rm 315, Chengming Hall (诚明楼) & 腾讯会议 491 945 446

　　Abstract：This paper examines the roles of information differences among investors (information asymmetry) in the determination of a firm's cost of capital and price informativeness when the risky asset payoff contains a non-learnable component. The existence of non-learnable payoff disproportionately decreases the information advantage of more informed traders, relative to less informed ones, leading asset prices to be affected by both the aggregate information precision and information asymmetry among investors. As a result, a higher level of information asymmetry decreases price informativeness and increases the cost of capital. Moreover, the relationship between information asymmetry and market variables can be non-monotonically influenced by investors' salience bias on non-learnable component. In an economy with multiple assets, information asymmetry from the market factor affects the costs of capital of all risky assets, but information asymmetry from firm specific factors only affects the cost of capital of the particular firm.

标题：信息不对称、不可学习收益和资本成本　

摘要：本文研究了当风险资产收益包含不可学习的成分时，投资者之间的信息差异（信息不对称）在确定公司的资本成本和价格信息性中的作用。相对于信息较少的交易者而言，不可学习收益的存在不成比例地降低了知情交易者的信息优势，导致资产价格受到投资者之间的总体信息精确度和信息不对称的影响。因此，更高水平的信息不对称会降低价格信息量并增加资本成本。此外，信息不对称与市场变量之间的关系可能会受到投资者对不可学习成分的显着性偏差的非单调影响。在具有多种资产的经济中，来自市场因素的信息不对称会影响所有风险资产的资本成本，而来自公司特定因素的信息不对称只会影响特定公司的资本成本。

Introduction：郑伟男，博士毕业于香港大学，现任首都经济贸易大学国际经济管理学院助理教授。郑伟男的研究领域包括：理论资产定价、实证资产定价、金融市场和金融中介。郑伟男曾在Journal of Financial Markets发表论文，并多次参加包括AFA，FMA，BAFA等国际金融会议。