Shadow costs of incomplete information and short sales in the valuation of the firm and its assets

This paper presents a simple framework for the valuation of compound options within shadow costs of incomplete information and short sales. The shadow cost includes two components. The first component is the product of pure information cost due to imperfect knowledge and heterogeneous expectations. The second component represents the additional cost caused by the short-selling constraint. Information costs are linked to Merton's (1987. Journal of Finance 42, 510) model of capital market equilibrium with incomplete information, CAPMI. This model is extended by Wu et al. (1996. Review of Quantitative Finance and Accounting, 7, 136) who propose an incomplete-information capital market equilibrium with heterogeneous expectations and short sale restrictions, GCAPM. This model is used in our paper to provide for the first time in the literature analytic solutions for derivatives in the presence of both shadow costs of incomplete information and short sales.When deriving the compound call option formula, we consider a call option on a stock, which is itself an option on the assets of the firm. Our methodology incorporates shadow costs of incomplete information and short sales on the firm's assets as well as the effects of leverage in the capital structure. The formula can be useful in the valuation of several corporate liabilities in the presence of information uncertainty and short sales constraints about the firm and its cash flows. Our analysis can be used for the valuation of several real options.     

资产价格泡沫研究述评:实验金融学视角

本文从实验金融学的视角介绍了资产泡沫最新的定义和分类,阐述了投机性泡沫、理性泡沫与非理性泡沫之间的区别和联系,着重从信息对称、信息不对称、有限套利泡沫、异质信念和实验金融五个方面系统评述了资产价格泡沫理论的发展历程和新进展,指出该领域进一步的研究方向和中国开展资产价格泡沫研究的重要意义。研究表明,随着现代金融学的高速发展,学界对资产泡沫的研究日益深入。特别是非理性和实验金融学视角的引入,突破了传统金融框架的束缚,为这一课题研究带来了新的认知和理解。即便如此,目前仍无法根除资产泡沫产生的可能性。很多相关问题,如资产泡沫产生的时间和根本原因,仍然等待着学者们去探索和研究。     

股票停牌、涨跌停与ETF定价效率——基于上证50ETF日度数据的实证研究

本文应用中国股市2007年至2011年的数据,研究了上证50ETF市场价格和基金净值的相关关系,以及折溢价水平及其影响因素。基于ETF的申购赎回和交易机制,在成分股涨跌停板和停牌期间,由于ETF二级市场价格具有价格发现功能,ETF市场价格可能较大偏离(形式上的)ETF净值,造成ETF的异常折溢价,而此类异常折溢价并不是真正的套利机会。另外,上证50ETF的市场价格与基金净值存在显著同步变动的关系;在涨跌停板和停牌期间之外,上证50ETF的折溢价水平低于套利所需的交易成本。本文研究表明,上证50ETF具有较高的定价效率。     

Local martingales, arbitrage, and viability Free snacks and cheap thrills

Summary. We revisit a standard model of security prices as Ito processes, and provide some new economic insights about the role of arbitrage and credit limits within such a model. We show that the standard assumptions of a positive state prices and existence of an equivalent martingale measure exclude prices that are viable models of competitive equilibrium and that are potentially useful for modeling actual financial markets. These models have been dismissed in the past as allowing arbitrage, but in fact an agent who prefers more to less and who has limited access to credit may have an optimum. Received: June 9, 1999; revised version: October 4, 1999