威尼斯人

题目：Short Selling and Endogenous Price Uncertainty

摘要：This paper studies the price and trading impact of margin rules for short selling within the context of Markowitz (1952). Our analysis is based on a newly obtained analytic solution for optimal portfolio holding under arbitrary margin rules. It is shown that heterogeneity in margins may have price effect and lead to price indeterminacy, particularly in the presence of derivative trading. Existence of equilibrium, along with a characterization theorem on the equilibrium outcome, is proved when investors have heterogeneous beliefs and when margins for short selling may vary among agents across all tradable securities. Partial equilibrium analyses were carried out for the special case when investors agree on the volatility structure, but hold different expectations. Upward deviations from the CAPM were discovered, extending Miller (1977)'s prediction to multi-asset context. The magnitude of the price gap from the benchmark CAPM was found to be positively affected by a modified population mass of short sellers and that of non-participating investors.

 

报告人简介：马成虎，复旦大学管理学院财务金融系教授，加拿大多伦多大学经济学博士学位，师从著名经济学家Larry G. Epstein。

主页： //www.fdsm.fudan.edu.cn/teacher/preview.aspx?UID=119014#