Title：Short Selling and Equilibrium Price Indeterminacy

Speaker： Chenghu Ma, Professor, Department of Finance

                      School of Management, Fudan University

Time： January 8， 2018，10:00-12:00am

Place：RM112， Science Builing（理科楼112会议室）

Abstract

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.

About the Speaker

      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。先后在加拿大、英国、新加坡、日本等国家的著名学府工作和访问，曾任加拿大McGill大学经济系助理教授，英国Essex大学会计金融管理系高级讲师、准教授，厦门大学王亚南经济研究院讲席教授，日本京都大学访问教授，新加坡国立大学资深访问学者。

      研究涉及资产定价理论、金融衍生品、投资者偏好、风险度量与管理、利率期限结构、融资融券、金融市场的福利经济学原理与汇总问题、博弈论等多个相关领域。出版专著：《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，担任多家学术杂志、期刊的编委。