| Summary: | 博士 === 國立政治大學 === 企業管理學系 === 84 === Akerlof (1970) 肇端了資訊經濟學的發展，而 Leland & Pyle (1977)，
Ross (1977) 和 Bhattacharya (1979) 等正式將資訊經濟學帶入財務研
究的領域後，資訊不對稱的重要性日益受到重視，且已對傳統財務理論產
生很大的衝擊，但是關於資訊不對稱的研究僅偏重於均衡條件的探討，對
於如何影響風險性資產的價格以及影響程度則未見系統性研究．而且資訊
不對稱的程度很難具體衡量，因此此一議題鮮見實證探討．本研究即將資
訊不對稱正式納入風險性資產定價模式，並以銀行借款為實證對象，利用
共變結構模型找出資訊不對稱的衡量變數，對資訊不對稱程度加以衡量．
本研究在理論模式的建構，分別以一般競爭均衡，利率結構，選擇權定價
，與銀行借款信用評等等四個定價模式，將資訊不對稱正式納入各模式中
，推導其對價格的影響．四個不同模式均獲致相同結論：資訊不對稱使債
權人的認知風險高於完全資訊時的實質風險，致使借款人資金成本上升．
利用LISREL為資訊不對稱界定出一組配適良好的衡量模式，包括借款企業
的年齡，規模，保證人人數，以及與銀行往來期間等四項變數．實證結果
顯示，資訊不對稱對借款者的償債能力．理論模式與主要研究命題獲實證
結果支持．
Akerlof (1970) starts the study of Information Economics. And
Leland & Pyle (1977), Ross (1977) and Bhattacharya (1979) etc.
bring it into the field of financial research. Asymmetrical
information has earnedgreatest attention ever since then.
Moreover, it has given rise to great empact to the traditional
financial theory. However, the studies regarding informational
asymmetry are mostly limited in the equilibriumconditions. Its
influences on the price of risky assets has hardly beentouched
systematically.To build the theory model, this study formally
put the variable of informational asymmetry into four pricing
models and induce its impacton prices of risky assets: the
general competitive equilibrium model, the interest rate
structure model, option pricing model, and creditrating model
for bank loan. All of these four models get the same result:
informational asymmetry makes the perceived risk of debtors
higher than the real risk in the condition of symmetrical
information.The cost of capital is therefore increased.Taking
the LISREL model to identify a measurement model for
informationalasymmetry and the goodness of fit is very
satisfactory. In includes four observed variables: age, size,
mumber of guarantors, and the period assotiate with the bank.
The empirical results demonstrate that informationalasymmetry
influences significantly the cost of capital. And the influence
is greater than that of payment ability of the creditor. Both
the theory modelsand the primary propositionsl are supported by
the empirical results.
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