Short Selling and Equilibrium Price Indeterminacy
讲座名称：
Short Selling and Equilibrium Price Indeterminacy
讲座时间：
2018-01-08
讲座人：
马成虎
形式：
校区：
兴庆校区
实践学分：
讲座内容：
讲座题目：Short Selling and Equilibrium Price Indeterminacy
讲座时间：January 8， 2018，10:00-12:00am
讲座地点：RM112， Science Builing（理科楼112会议室）
讲座人： Chenghu Ma, Professor, Department of Finance School of Management, Fudan University
讲座内容：
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.
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