| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23751 |
| 来源ID | Working Paper 23751 |
| Supply and Shorting in Speculative Markets | |
| Marcel Nutz; José A. Scheinkman | |
| 发表日期 | 2017-09-04 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We propose a continuous-time model of trading among risk-neutral agents with heterogeneous beliefs. Agents face quadratic costs-of-carry on their positions and as a consequence, their marginal valuation of the asset decreases when the magnitude of their position increases, as it would be the case for risk-averse agents. In the equilibrium models of investors with heterogeneous beliefs that followed the original work by Harrison and Kreps, investors are risk-neutral, short-selling is prohibited and agents face a constant marginal cost of carrying positions. The resulting resale option guarantees that the equilibrium price exceeds the price of the asset in a static buy-and-hold model where speculation is ruled out. Our model features three main novelties. First, increasing marginal costs entail that the price depends on the exogenous supply. Second, in addition to the resale option, agents may also value an option to delay, and this may cause the market to equilibrate below the static buy-and-hold price. Third, we introduce the possibility of short-selling; then the resale option for agents with short positions partly compensates the resale option for long agents. We characterize the unique equilibrium of our model through a Hamilton--Jacobi--Bellman equation of a novel form and use it to derive several comparative statics results. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance |
| URL | https://www.nber.org/papers/w23751 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581425 |
| 推荐引用方式 GB/T 7714 | Marcel Nutz,José A. Scheinkman. Supply and Shorting in Speculative Markets. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23751.pdf（615KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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