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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 巫和懋 | |
| dc.contributor.author | Hung-Hsuan Chu | en |
| dc.contributor.author | 朱弘軒 | zh_TW |
| dc.date.accessioned | 2021-06-13T17:05:03Z | - |
| dc.date.available | 2007-01-01 | |
| dc.date.copyright | 2005-02-02 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-01-27 | |
| dc.identifier.citation | 1.Allen, Franklin and Douglas Gale, 1988, Optimal Security
Design, Review of financial studies, 1, 229-263. 2.Allen, Franklin and Douglas Gale, 1991, “Arbitrage, Short-sales, and Financial Innovation”, Econometrica, 59, 1041-1068. 3.Basak, S. and B. Croitoru, 2000, “Equilibrium Mispricing in a Capital Market with Portfolio Constraints”, Review of Financial Studies, 13, 715-748. 4.Cass, D. and A. Citanna, 1998, “Pareto Improving Financial Innovation in Incomplete Markets” Economic Theory, 11, 467-494. 5.Cao, H. Henry, 1999, “The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectation Equilibrium”, Review of financial studies, 12, 131-163. 6.Chang, Eric C. and Yinghui Yu, 2004, “Short-Sales Constraint and Price Discovery: Evidence from the Hong Kong Market” presented in International Conference on Finance 2005, Taipei, Taiwan. 7.Chen, J., H. Hong and J. Stein, 2002, “Breadth of Ownership and Stock Return”, Journal of Financial Economics, 66, 171-205. 8.D’Avolio, G.,2002, “The Market for Borrowing Stock”, Journal of Financial Economics, 66, 271-300. 9.De Long, B., A. Shleifer, L. Summer, and R. Waldmann, 1990, “Noise Trader Risk in Financial Markets”, Journal of Political Economy, 98, 703-738. 10.Detemple, Jerome and Shashidhar Murthy, 1997, “Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraint”, Review of Financial Studies, 10, 1133-1174. 11.Diamond, Douglas W. and Robert E. Verricchia, 1987, “Constraints on Short-Selling and Asset Price Adjustment to Private Information”, Journal of Financial Economics, 18, 277-311. 12.Danielsen, Barley R. and Sorin M. Sorescu, 2001, “Why Do Option Introductions Depress Stock Prices? An Empirical Study of Diminishing Short-ale Constraint”, Journal of Financial and Quantitative Analysis, 36, 451- 484. 13.Duffie, Darrell, 1996, “Special Repo Rates”, Journal of Finance, 51, 493-526. 14.Duffie, Darrell, Nicolae Garleanu and Lasse H. Pedersen, 2002, “Securities Lending, Shorting, and Pricing” Journal of Financial Economics, 66, 307-339. 15.Figlewiski, Stephen and Gwendolyn P. Webb, 1993, “Option, Short-sales, and Market Completeness”, Journal of Finance, 48, 761-777. 16.Hong, Harrison and Jeremy Stein, 2003, “Differences of Opinion, Short-sales Constraints, and Market Crashes” Review of Financial Studies, 19, 487-525. 17.Jarrow, Robert, 1980, “Heterogeneity, Restriction on Short-sales, and Equilibrium Asset Prices”, Journal of Finance, 35, 1105-1113. 18.Kraus, Alan and Amir Rubin, 2002, “The Effect of Index Option Initiation on Volatility in the presence of Heterogeneous Belief and Short-sales Constraint”, Working Paper. 19.Krishnamurthy, A., 2002, “The Bond/Old Bond Spread”, Journal of Financial Economics, 66, 463-506. 20.Miller, Edward M., 1977, “Risk Uncertainty, and Divergence of Opinion”, Journal of Finance, 32, 1151- 1168. 21.Subrahmanyam, Avanidhar, 1991, “A Theory of Trading in Stock Index Futures”, Review of Financial Studies, 4, 17-51. 22.Telmer, Chris I., 1993, “Asset Pricing Puzzles and Incomplete Markets”, Journal of Finance, 48, 1803-1832. 23.Varian, Hal R., 1985, “Difference of Opinion in Complete Markets: A Note”, Journal of Finance, 40, 309- 317. 24.Zhang, Harold H., 1997, “Endogenous Borrowing Constraints with Incomplete Markets”, Journal of Finance, 52, 2187-2209. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/39154 | - |
| dc.description.abstract | 本論文研究當市場投資人受到放空限制下，引入衍生性資產作為財務創新，對於市場均衡之影響。首先建立一個投資者具有歧異信念，且受到放空限制之兩期、兩風險資產一般均衡模型。考慮在模型中引入不同數量的期貨交易，是否可使均衡回到完全市場。研究結果顯示，引入兩筆期貨交易將完全抵銷放空限制，使市場成為完全市場；而只引入一筆指數期貨，則無法使市場回到完全市場，但該期貨已非多餘資產。本文發現，在特定的模型假設之下，引入指數期貨交易，將使均衡價格改變，並使社會福利上升；但由於放空限制並未完全消除，故傳統的持有成本定價法無法正確反映市場均衡期貨價格。 | zh_TW |
| dc.description.abstract | In this thesis, I construct a general equilibrium model to express that the introduction of the index future trading will make the equilibrium of spot market change while the short selling is restricted and investors are of different opinions. When two futures are introduced into the market, the market is complete and is equivalent to the frictionless market. With the introduction of an index future, the market is still incomplete but the index future is no longer a redundant asset. The index future trading can make the asset prices changes and improve the social welfare. However, because the short-sales constraints are not fully eliminated, the future pricing by cost of carry model cannot represent equilibrium future price. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T17:05:03Z (GMT). No. of bitstreams: 1 ntu-94-R91724040-1.pdf: 525386 bytes, checksum: 21a15eb163f370c8e6fedf4b81102e04 (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | CONTENTS
CHAPTER 1 INTRODUCTION 1 1.1 MOTIVATION 1 1.2 FRAMEWORK OF THE STUDY 2 CHAPTER 2 REVIEW OF LITERATURE 4 2.1 SHORT-SALE CONSTRAINT 4 2.2 DIFFERENCES OF OPINIONSq 5 2.3 THE EFFECT OF SHORT-SALES CONSTRAINT ON ASSETPRICE: JARROW’S MODEL (1980) 6 2.4 INTRODUCTION OF A DERIVATIVE ASSET: KRAUS AND RUBIN (2002) 8 2.5 SOME OTHER RELATED WORKS 10 CHAPTER 3 MODEL 1: COMPLETE MARKET 12 3.1 TWO RISKY ASSETS MODEL 13 3.2 THE COMPARISON BETWEEN CASE(1-1) AND CASE(1-2): 17 CHAPTER 4 MODEL 2: INCOMPLETE MARKET AND FINANCIAL INNOVATION 20 4.1 THE INCOMPLETE MARKET—CASE(2-1) AND CASE(2-2) 21 4.2 THE COMPARISON BETWEEN THE COMPLETE MARKET AND INCOMPLETE MARKET 27 4.3 THE WELFARE IMPLICATIONS 31 CHAPTER 5 ROBUSTNESS 35 5.1 DIVERGENCE ON THE COVARIANCE MATRIX 35 5.2 CONSIDER ANOTHER MARKET INDEX 36 CHAPTER 6 CONCLUSION 39 6.1 CONCLUSION 39 6.2 LIMITATION OF THE STUDY 39 6.3 THOUGHTS FOR FURTHER STUDIES 40 REFERENCES 42 APPENDIX 44 (A.1) MODEL OF SINGLE RISKY ASSET 44 (A.2) THE CONDITIONS FOR PARETO IMPROVEMENT 48 FIGURES AND CHARTS Figure 1 The optimistic versus pessimistic investors 8 Figure 2 The structure of cases 20 Figure 3 The relationship of sigma12 and sigma13*sigma23 | |
| dc.language.iso | en | |
| dc.title | 信念歧異、放空限制與財務創新 | zh_TW |
| dc.title | Differences of Opinions, Short-sales Constraints and Financial Innovation | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 姜祖恕,黃啟瑞 | |
| dc.subject.keyword | 放空限制,信念歧異,財務創新,不完全市場, | zh_TW |
| dc.subject.keyword | financial innovation,incomplete market,differences of opinions,short-sales constraint, | en |
| dc.relation.page | 49 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2005-01-28 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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