دانلود مقاله ISI انگلیسی شماره 45136
ترجمه فارسی عنوان مقاله

نظریه تعادل از سقوط بازار سهام

عنوان انگلیسی
Equilibrium theory of stock market crashes ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
45136 2015 22 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Economic Dynamics and Control, Volume 60, November 2015, Pages 73–94

ترجمه کلمات کلیدی
تعادل عمومی - بحران مالی - نقدینگی - هزینه معاملات
کلمات کلیدی انگلیسی
G11; G12General equilibrium; Financial crisis; Liquidity; Transaction costs
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پیش نمایش مقاله  نظریه تعادل از سقوط بازار سهام

چکیده انگلیسی

We consider an equilibrium in illiquid stock market in which liquidity suppliers trade with investors and face significant trading costs. A similar situation was observed during the recent financial crisis. We find that the expected risk premium on the stock and its Sharpe ratio are positive and very large, while the expected stock return volatility is a few times bigger than in the liquid market. Investors sell stock shares due to their excessive leverage, whereas market makers try to compensate their trading costs with the profits expected from buying the stock shares with very high Sharpe ratio. Moreover, the short-term stock returns exhibit either a strong overreaction or a momentum effect depending on the state of the economy.