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Swaminathan Balasubramaniam, Washington University (St. Louis):A Pure Model of Liquidity Trading

([西财新闻] 发布于 :2018-07-03 )

光华讲坛——社会名流与企业家论坛第5044

 

主题:A Pure Model of Liquidity Trading

主讲人:Swaminathan Balasubramaniam, Washington University (St. Louis)

主持人:金融研究院院长 Prof. Philip Dybvig

时间:201875日(星期四)下午13:30-15:00

地点:西南财经大学光华校区金融研究院202会议室

主办单位:金融研究院 科研处

 

主讲人简介:

Swaminathan Balasubramaniam是圣路易斯华盛顿大学奥林商学院的金融学在读博士。主要研究方向为金融机构,金融市场和行为金融学。曾在2015年获得圣路易斯华盛顿大学奥林商学院的博士奖学金。

内容提要:

How are asset prices affected by an agent's anticipated need for liquidity? We study a pure model of liquidity trading by an agent who faces a menu of assets with exogenously given terminal payoffs and associated liquidation values. In our setting, the agent faces a probabilistic interim liquidity shock and chooses which assets to liquidate. Anticipating these liquidations, the agent forms an optimal portfolio of assets with different degrees of liquidity. Assets with high liquidation values are liquidated in every state while assets with high terminal values are never liquidated in equilibrium. Depending on the size of the liquidity shock, some assets are liquidated only in some states and not in others. In a rational expectations equilibrium setting, we show that the prices of liquidation options in the economy adhere to a strictly convex pricing rule: highly liquid assets which can be liquidated in several states of the world (corresponding to various liquidity shock values) command a higher price than illiquid assets that are liquidated only in few states. Thus, we offer a novel explanation to the empirically established concave liquidity-return relationship (equivalently convex prices).


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