Tongkui Yu分享



已有 3893 次阅读 2011-10-5 10:16 |个人分类:学术资料|系统分类:科研笔记| 金融市场, 行为实验

Margin Trading, Overpricing, and Synchronization Risk


Sanjeev Bhojraj and Robert J. Bloomfield
S.C. Johnson Graduate School of Management, Cornell University
William B. Tayler
Goizueta Business School, Emory University


We provide experimental evidence that relaxing margin restrictions to allow more short selling can exacerbate overpricing, even though it reduces equilibrium price levels. This is because smart-money traders initially profit more by front-running optimistic investor sentiment than by disciplining prices. When short selling is not possible, competitive pressures among arbitrageurs rapidly drive prices to the equilibrium. However, the risk of margin calls slows the convergence process, because arbitrageurs who sell short too early face substantial losses if they are unable to synchronize their trades with other arbitrageurs (as in Abreu and Brunnermeier. 2002. Journal of Financial Economics 66(2–3):341–60; 2003. Econometrica 71(1):173–204). (JEL G14, C92)


Margin Trading, Overpricing, and Synchronization Risk.pdf

上一篇:一篇关于市场波动体制(dynamic regimes)的比较有开创性的文献

1 杨华磊

该博文允许注册用户评论 请点击登录 评论 (0 个评论)


Archiver|手机版|科学网 ( 京ICP备07017567号-12 )

GMT+8, 2021-10-26 16:41

Powered by

Copyright © 2007- 中国科学报社