Tongkui Yu分享 http://blog.sciencenet.cn/u/ytkui

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一个关于金融市场的有趣的行为实验

已有 3749 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



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