Merton (1987)認為在資訊不完整下，投資人持有不完全多角化的投組，因而要求更高的超額報酬，進而推論出獨特性風險與橫斷面報酬呈現正相關。本文參考Merton的原始模型，將投資人區分為機構投資人與散戶，其中機構投資人再分為短期與長期，並以其各自的持股比例建構不完整資訊下的影子成本λ(由相對市值、股東基數以及獨特性風險所組成)，發現散戶(λ^R)、短期機構投資人之影子成本(λ^STI)與橫斷面報酬呈現顯著正相關，代表他們承受獨特性風險能獲取認知溢酬，如同Merton預期的投資人認知假說。 本文後續探討短期機構投資人對認知溢酬的影響，發現其對整體機構投資人的風險溢酬有正面貢獻，然而對散戶則有負面影響，較類似於市場中理性套利者的角色。此外，與Miller (1977)的意見分歧理論進行比較後，發現當市場存在賣空限制與意見分歧時，散戶所獲得的溢酬來自於公司獨特性風險，此結果較偏向Merton (1987)。 ;Merton (1987) posits that in the presence of incomplete information, investors hold less diversified portfolios and thus require higher excess returns, leading to a positive correlation between idiosyncratic risk and cross-sectional returns. Building on Merton’s original model, this study distinguishes between institutional investors and retail investors, further categorizing institutional investors into short-term and long-term groups. By constructing the shadow cost of incomplete information (λ), which consists of relative market size, shareholder base, and idiosyncratic risk, this study finds that the shadow cost of retail investors (λ^R) and short-term institutional investors (λ^STI) is significantly positively correlated with cross-sectional returns. This indicates that these investors bear idiosyncratic risk and receive a recognition premium, as predicted by Merton’s investor recognition hypothesis. Further, this study analyze the impact of short-term institutional investors on recognition premiums. It reveals a positive contribution to the risk premium for overall institutional investors, but a negative impact on retail investors, aligning them more closely with the role of rational arbitrageurs in the market. Comparing these findings with Miller’s (1977) divergence of opinion, the study discovers that in the presence of short-selling constraints and divergent opinions, the premiums obtained by retail investors stem from idiosyncratic risk, supporting Merton’s (1987) model.
