Shorting in Speculative Markets

• 成果类型: Article
• 署名作者: Nutz, Marcel; Scheinkman, Jose A.
• 署名单位: Columbia University; Princeton University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12871
• 发表日期: 2020
• 页码: 995-1036
• 关键词: volatility; RISK

摘要

In models of trading with heterogeneous beliefs following Harrison-Kreps, short selling is prohibited and agents face constant marginal costs-of-carry. The resale option guarantees that prices exceed buy-and-hold prices and the difference is identified as a bubble. We propose a model where risk-neutral agents face asymmetric increasing marginal costs on long and short positions. Here, agents also value an option to delay, and a Hamilton-Jacobi-Bellman equation quantifies the influence of costs on prices. An unexpected decrease in shorting costs may deflate a bubble, linking financial innovations that facilitated shorting of mortgage-backed securities to the collapse of prices.