财务与会计学术论坛第八十期

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题目: Beauty Contests, Heterogeneous Beliefs, and Bubbles in Stocks and Options 演讲者:H. Henry Cao, professor, Cheung Kong Graduate School of Business 时间: 2008年10月24日(星期五)3:00—4:30 PM 地点: 嘉庚二513 参加者: 对财务研究有兴趣的广大师生 主持人: 沈哲老师 论文摘要: We analyze how beauty contests due to dynamic trading in the presence of heterogeneous beliefs on public information can result in bubbles in stocks and options. We show that the effects of additional trading sessions on the stock price can be decomposed into two effects, the expectation effect and the risk premium effect. The ¯rst effect is caused by the differences about the mean of the public information among investors. When investors optimistic (pessimistic) about the public information have higher precision, the stock price will be higher (lower). The second effect is due to the disagreement about the covariance of the public information and the stock, which results in a reduction of risk premium, due to mutual insurance among investors provided by dynamic trading. The risk reduction effect causes the stock price to increase with the number trading sessions when investors agree on the expectation of the public signals. Dynamic trading also have two effects on options prices. The ¯rst effect is that the implied volatility in stock option prices will always decrease, which reduces option prices. The second effect is that as the stock price will change, this will in turn affect options prices. Hence, option prices can be higher or lower depending on the trade off between the two effects. Due to the reduction of risk, dynamic trading results in higher market liquidity. In the special case that investors disagree about the mean of the public information but agree on the covariance between the public signals and the stock payoff, the stock and option prices are not affected. We extend our results to heterogeneous priors on stock payoffs, dynamic trading without options and multiple stocks. 论文作者简介: Xiaozu Wang is a professor of finance at Cheung Kong Graduate School of Business, where he has been teaching since 2004. He received his BS from University of Science & Technology in China, Ph.D. in pathology from Yale University and Ph.D in finance from UCLA. His research interests include asset pricing, microstructure, options pricing, international finance.