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主讲人：曹辉宁教授
曹教授的个人简介：
曹辉宁教授现为长江商学院金融学教授，美国财务学会会员，曾任教于加州大学伯克利分校、北卡罗来纳大学Chapel Hill分校。主要研究领域：投资组合管理、 期权定价、资产定价、市场微观结构、国际财务等。
在过去几年中，曹博士在国际著名期刊Journal of Finance、Review of Financial Studies、Journal of Financial Economics发表多篇论文，并被大量引用；曾两次获得Journal of Finance的最佳论文提名(1998年和2000年)；曾获Northern Finance Association评选的新兴市场领域最佳论文奖；曾获Western Finance Association 评选的最有投资价值的最佳论文奖；在2004中国金融国际年会上获得最佳论文三等奖；任Annals of Economics and Finance的编委会成员。
Abstract
In a complete market with CARA utility investors, we construct a representative agent
under differences of opinion regarding public information among investors. The asset price is determined by the expectation of the representative agent. It is shown that the expectationof the representative agent can exceed the expectation of the most optimistic investor or fall below that of the most pessimistic investor, resulting in bubbles or panics. The existence of bubbles and panics in our model does not depend on investors’ risk aversion. When investors’risk aversion approaches zero, our model reduces to that of Harrison and Kreps (1978) in which bubbles always occur. Somewhat strikingly, it is shown that even when investors face a binding short sales constraint, panics can still arise. This result demonstrates that the Harrison-Kreps model is not robust for risk averse investors and that with a short sales constraint, the asset price does not necessarily incorporate the views of only the relatively optimistic investors, as argued in Miller (1977).
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