【本期主题】Short Selling and Equilibrium Price Indeterminacy

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】  马成虎            复旦大学管理学院金融学教授

【时   间】12月23日         上午10:00

【地   点】明德主楼509室

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报告人简介：

马成虎教授，多伦多大学经济学博士，复旦大学管理学院金融学教授、博师生导师，曾先后在山东大学数学系、McGill大学（加拿大）经济系、Essex大学（英国）会计金融管理系、厦门大学王亚南经济研究院任教；日本京都大学访问教授，新加坡国立大学资深访问学者，韩国Ajou 大学国际知名金融工程访问教授。

研究涉及资产定价理论、金融衍生品、投资者偏好及风险度量等多个相关领域。出版学术专著： 《金融经济学原理》，清华大学出版社；《高级资产定价理论》，中国人民大学出版社；“Advanced Asset Pricing Theory”，Imperial College Press。发表学术论文30余篇。

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