标题： 投机市场中的卖空 显示英文标题

标题： Shorting in Speculative Markets

摘要： 我们提出了一种连续时间的交易模型，其中包含了异质信念。风险中性的参与者在头寸上面临二次型的持有成本，因此随着头寸规模的增加，他们的边际估值会下降，这种情况类似于风险厌恶参与者的情形。在继哈里森-克雷普斯之后的异质信念均衡模型中，投资者是风险中性的，卖空被禁止，并且参与者面临的持有头寸的边际成本是常数。由此产生的转售期权保证了当排除投机时价格高于资产价格；这一差值被识别为泡沫。在我们的模型中，递增的持有成本意味着价格依赖于资产供应。其次，参与者还重视延迟选择，这可能导致市场均衡价格低于买入并持有的价格。第三，我们引入了卖空的可能性。一种新颖形式的Hamilton-Jacobi-Bellman方程精确量化了持有成本对价格的影响。短期做空成本的意外下降可能会导致泡沫破裂；这将金融创新（促进MBS的卖空）与随后的价格崩溃联系起来。 显示英文摘要

摘要： We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case for risk-averse agents. In the equilibrium models of heterogeneous beliefs that followed Harrison-Kreps, investors are risk-neutral, short-selling is prohibited and agents face constant marginal costs of carrying positions. The resulting resale option guarantees that the price exceeds the price of the asset when speculation is ruled out; the difference is identified as a bubble. In our model increasing marginal costs entail that the price depends on asset supply. Second, agents also value an option to delay, and this may cause the market to equilibrate below the buy-and-hold price. Third, we introduce the possibility of short-selling. A Hamilton-Jacobi-Bellman equation of a novel form quantifies precisely the influence of the costs-of-carry on the price. An unexpected decrease in shorting costs may lead to the collapse of a bubble; this links the financial innovations that facilitated shorting of MBSs to the subsequent collapse of prices.