估价(财务)
股息
业务
资产(计算机安全)
价值(数学)
经济
金融经济学
货币经济学
财务
计算机安全
计算机科学
机器学习
作者
Darrell Duffie,Nicolae Gârleanu,Lasse Heje Pedersen
标识
DOI:10.1016/s0304-405x(02)00226-x
摘要
We present a model of asset valuation in which short-selling requires searching for security lenders and bargaining over the lending fee. If lendable securities are difficult to locate, then the price of the security is initially elevated, and expected to decline. This price decline is to be anticipated, for example, after an initial public offering, and is increasing in the degree of heterogeneity of beliefs about the future value of the security. The prospect of lending fees may push the initial price of a security above even the most optimistic buyer's valuation of the security's future dividends. A higher price can thus be obtained with some shorting than if shorting is disallowed.
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