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1.
无套利均衡是新古典主义理论在特定条件下所界定的市场均衡特征。考察卖空限制和借款约束行为对资本市场上的组合和套利行为的影响,并结合市场从非均衡向均衡的调整过程,定性考察不同行为假设之下资本市场均衡特征的变化,可以发现,资本市场均衡和套利机会之间的共存或排斥状态,直接受制于有关市场参与者的初始行为假设。在不同的行为假设之下,市场参与者的组合和套利行为具有不同的特征和不同的影响。 相似文献
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Summary. In view of the fundamental price taking hypothesis, arbitrage is never compatible with equilibrium in Walrasian markets because the existence of an arbitrage opportunity in a competitive situation always leads to unbounded arbitrage activity. In strategic markets however, the mere effort of individuals to profit alters market clearing prices and thus distorts arbitrage opportunities as well. This observation suggests a different relationship between arbitrage and equilibrium, than in the competitive model. Indeed, we show that in such markets a spread between the cost of a portfolio and its returns is compatible with equilibrium. We provide an example of an equilibrium where a resourceless individual holds a portfolio with zero cost and positive return in every state. We further demonstrate via an asymptotic result, that no arbitrage is intimately related to price taking behaviour.Received: 8 September 2001, Revised: 6 March 2003, JEL Classification Numbers:
G12, D4, D5, D52. Correspondence to: Leonidas C. Koutsougeras 相似文献
3.
In the absence of opportunities for arbitrage, a very general valuation equation is derived for risky assets. This derivation exploits the linear operators associated with the transition probabilities of the state process. 相似文献
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公司购并利益相关者的利益均衡吗?——基于公司购并动因的风险溢价套利分析 总被引:22,自引:1,他引:22
本文利用信息经济学与博弈论理论 ,从公司利益相关者的利益均衡角度对公司购并进行动态博弈分析。为刻画行为主体利益动态均衡过程 ,论文应用Rubinstein讨价还价模型 ,揭示公司购并过程中利益均衡及其对公司购并的推动作用。为解开“购并公司股东损益之谜” ,论文引进购并公司信息占优条件下的风险套利模型 ,分析购并公司溢价购并损失在市场背后的风险套利补偿。在此基础上 ,采用市场分析法对上市公司购并利益分配进行实证 ,检验结果显示中国证券市场同样存在“购并公司股东损益之谜”。 相似文献
6.
Frank Strobel 《Research in Economics》2012,66(4):391-397
Using a two-country general equilibrium framework with heterogeneous agents and uncertainty, we examine how countries' adoption of different fundamental approaches to taxing international capital income will affect portfolio choices and pricing relationships in international bond and foreign exchange markets. We characterize an equilibrium where (tax-)arbitrageurs in the country applying the source principle may exploit the resulting tax arbitrage opportunities up to some individual bound, normal investors in either country refrain, or are restrained, from constructing such (tax-)arbitrage portfolios, while arbitrageurs in the country using the residence principle do not share in any tax arbitrage profits. 相似文献
7.
This paper responds to the unsatisfactory argument that there is no correspondence between co-integration and the efficient market hypothesis. A law of one co-integrating vector of prices is proposed for the exchange rate and domestic and overseas stock prices. Markets must therefore be efficient in long-run equilibrium because no arbitrage opportunities exist. However, arbitrage activity via the disequilibrium error correction allows above-average (risk-adjusted) returns to be earned in the short run. The elimination of these arbitrage opportunities means that stock market inefficiency in the short run ensures stock market efficiency in the long run. 相似文献
8.
Summary. A single condition, limited arbitrage, is shown to be necessary and sufficient for the existence of a competitive equilibrium and the core in economies with any number of markets, finite or infinite, with or without short sales. This extends earlier results of Chichilnisky [8] for
finite economies. This unification of finite and infinite economies is achieved by proving that in Hilbert spaces limited
arbitrage is necessary and sufficient for the compactness of the Pareto frontier. Limited arbitrage has also been shown to
be necessary and sufficient for a resolution of the social choice paradox [9], [10], [12], [13], [14].
Received: August 4, 1995; revised version: April 11, 1997 相似文献
9.
《Journal of Economic Theory》1987,41(2):392-404
In this paper, we use a no unbounded arbitrage condition to give a very direct proof of the existence of equilibrium in Hart's unbounded securities exchange model (J. Econ. Theory, 9 (1974), 293–311). We also examine the relationship between the no unbounded arbitrage condition and the sufficiency conditions of Hart, ibid. and Hammond (J, Econ. Theory, 31 (1983), 170–175). We present an example to show that if traders are not sufficiently risk averse, then Hammond's overlapping expectations condition is not, in general, equivalent to the no unbounded arbitrage condition or Hart's sufficiency conditions, and therefore, is not sufficient to guarantee the existence of equilibrium. We also present an example to show that it is possible for the no unbounded arbitrage condition to hold without overlapping expectations, and therefore, it is possible for equilibrium to exist without overlapping expectations. 相似文献
10.
Frank Strobel 《Research in Economics》2001,55(4):413
Using a finite-horizon general equilibrium model with uncertainty and money, we characterize situations where tax arbitrage opportunities may arise for international portfolio investors in an economy with heterogeneous capital income taxation when there is some scope to evade taxes on foreign capital income. We derive tax-modified uncovered interest parity conditions and forward rates similar to the no-tax ones, but augmented by tax-induced “risk-premium” terms; covered interest parity conditions remain unaffected by the introduction of capital income taxes, a consequence of our approach of bounding tax-based arbitrage without restricting arbitrage per se. 相似文献
11.
In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium
prices are determined, may still refine their information by eliminating sequentially “arbitrage state(s)”, namely, the state(s)
which would grant the agent an arbitrage, if realizable.
相似文献
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Summary. In order to analyse the effect of ambiguity and uncertainty aversion on equilibrium welfare, a two period, pure exchange one good economy is considered. Agents are Choquet-expected-utility maximizers with same convex capacity and strictly concave utility index. It is proven that equilibrium is indeterminate whenever several probabilities in the core of the capacity minimize the expected value of aggregate endowment and not all agents have same expected endowments under those probabilities. It is further shown that small changes in aggregate endowment may have drastic welfare implications. A more general model is considered in the case of no aggregate uncertainty: agents have a set of priors and are uncertainty averse as modelled by Gilboa-Schmeidler [1989]. In the case of complete markets, it is shown that assets have a spread of equilibrium prices similar to the spread of no-arbitrage prices compatible with absence of arbitrage in markets with imperfections.Received: 2 June 2000, Revised: 27 March 2003, JEL Classification Numbers:
D46, D59,D60, G12.I have benefited from conversations with L. Epstein, F. Magnien and J. M. Tallon. 相似文献
13.
This paper presents an asymptotic property of a joint spot-futures market equilibrium established in Cheng-Magill (1982). As speculators diversity over a large number of markets, the equilibrium risk premium converges to an asymptotic premium, the behaviour of which depends solely on the stochastic dependence between the spot price and an index of average returns on other markets. Risk arising from the variability of the spot price itself is diversified away. The results are related to the arbitrage pricing theory of Ross (1976). 相似文献
14.
Emily T. Cremers 《Economic Theory》2001,17(3):641-663
This paper demonstrates, in the context of a two-sector OLG neoclassical growth model, conditions under which international
trade in consumption goods alone may be sufficient for the equalization of real returns to physical capital across countries;
that is, under which commodity arbitrage is sufficient for real interest rate parity (RIRP). This role for repeated commodity
arbitrage is established via a dynamic extension of the factor price equalization (FPE) theorem which is valid at all dates
comprising the equilibrium path as well as its steady state. The results are at odds with the conventional view regarding
RIRP which arises from open one-sector growth models, in which case steady state trade balance and RIRP are irreconcilable,
and are also a contradiction to frequent assertions of lon-run specialization in two-sector frameworks. An equilibrium path
for an integrated world economy yields an endogenous, time-variant cone of diversification which implies sufficient conditions
for the dynamic paths of a cross-section of economies to exhibit FPE, and hence RIRP with trade balance, at all points in
time. These conditions require that the savings rates and initial capital-labor ratios of individual countries do not deviate
too significantly from world averages, and that both sectors absorb capital easily. The first of these requirements is sufficient
to establish steady state FPE and RIRP in the general specification. The first two requirements are sufficient for the entire
equilibrium path to be characterized by FPE and RIRP in a log-linear example.
Received: September 22, 1998; revised version: February 10, 2000 相似文献
15.
Baruch Gliksberg 《Economic Theory》2009,41(3):443-463
This paper focuses on two mechanisms under which interest-rate feed-back rules induce local indeterminacy in a closed economy
with capital accumulation: arbitrage activity and the pricing channel. It shows that constrained investment, in the sense
that it requires liquidity or that adjustment to the stock of capital is costly, is enough to induce indeterminacy if monetary
policy follows a strictly passive interest rate rule. Determinacy of equilibrium is ensured under an active monetary policy
stance. These results change when production externalities are introduced into the model so as to mimic the pricing channel
in New Keynesian models. In this case, a policy stance that ensures determinacy is either active or strictly passive. In view
of the contradicting results for the passive stance and the similar results for the active stance it is recommended that central
banks act according to the active stance. 相似文献
16.
Kevin X.D. Huang 《Economic Theory》2002,20(1):189-198
Summary. We develop a theory of valuation of assets in sequential markets over an infinite horizon and discuss implications of this
theory for equilibrium under various portfolio constraints. We characterize a class of constraints under which sublinear valuation
and a modified present value rule hold on the set of non-negative payoff streams in the absence of feasible arbitrage. We
provide an example in which valuation is non-linear and the standard present value rule fails in incomplete markets. We show
that linearity and countable additivity of valuation hold when markets are complete. We present a transversality constraint
under which valuation is linear and countably additive on the set of all payoff streams regardless of whether markets are
complete or incomplete.
Received: March 9, 2000; revised version: February 13, 2001 相似文献
17.
Many recent papers in macroeconomics have studied the implications of models with household heterogeneity and incomplete financial markets under the assumption that households own the stock of physical capital and undertake the intertemporal investment decisions. In these models, production exhibits constant returns to scale, households maximize expected discounted utility, and firms rent capital and labor from households to maximize period by period profits. This paper considers the case in which infinitely lived firms, rather than households, make the intertemporal investment decisions. Under this assumption, it shows that there exists an objective function for firms that results in the same equilibrium allocation as in the standard setting with one period lived firms. The objective requires that firms maximize their asset value, which is defined as the discounted value of future cash flows using present value processes that do not allow for arbitrage opportunities. 相似文献
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熊彼特和柯兹纳对企业家作用的不同看法直接导致了他们对企业家过程的不同理解。实际上他们所描绘的是两种不同类型的企业家,即创新型企业家和套利型企业家,这两种不同类型的企业家分别承担了创造性破坏和恢复均衡的职责。这两种企业家在经济增长中的作用是互相补充、互相依存的,两者共同构成了一个完整的、动态的企业家过程。在这个动态循环体系中,企业家知识是环流的介质。它的实质是企业家知识在市场中被创造、扩散、发现和吸收利用的过程。 相似文献
20.
Gregory Connor 《Journal of Economic Theory》1984,34(1):13-31
This paper derives Ross's mutual fund separation theory and a new, equilibrium version of Ross's arbitrage pricing theory as special cases of a general theory. The paper also reveals that the two theories are identical in their predictions of asset prices and portfolio returns. The capital asset pricing model (a restricted case of the mutual fund separation theory) receives special treatment. 相似文献