scholarly journals Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints

2021 ◽  
Author(s):  
Lei Shi ◽  
Yajun Xiao
Keyword(s):  
Stock Price ◽  
Borrowing Constraints ◽  
Joint Effect ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Borrowing Constraint ◽  
Risk Free Rate ◽  
Dynamic Asset Pricing ◽  
Free Rate ◽  
Two Equilibria

Abstract This paper studies the joint effect of borrowing and short-sale constraints under heterogeneous beliefs and risk aversions. Although the constraints never simultaneously bind in equilibrium, interesting economics emerge in the anticipatory effects of potentially future binding constraints. In particular, the risk-free rate and Sharpe ratio experience endogenous jumps at a critical state, where two equilibria coexist. Moreover, a short-sale ban can lead to a lower stock price and higher volatility depending on the relative tightness between the constraints, and tightening the borrowing constraint during a short-sale ban can also make returns more volatile.

Solutions for Sustainable Banking and Enhancing Banking Competitiveness – Vietinbank Case in Vietnam

2021 ◽  
Vol 11 (2) ◽  
pp. 327-334
Author(s):  
Nguyen Van Dat ◽  
Dinh Tran Ngoc Huy
Keyword(s):  
Stock Price ◽  
Industry 4.0 ◽  
Financial Accounting ◽  
Gdp Growth ◽  
Financial Risks ◽  
Management Implications ◽  
Sustainability Strategies ◽  
Lending Rate ◽  
Risk Free Rate ◽  
Free Rate

During and after China-USA commerce ward, financial accounting transparency will become hot issues as it will help to attract more FDIs capitals flows into the country and stock market. Financial accounting transparency policy will prove enough data for firms and esp., banks in evaluating business risks and financial risks. For economic development during industry 4.0, enhancing banking sustainability in emerging markets such as Vietnam is becoming necessary. The results show us that CPI, GDP growth and risk free rate (Rf) has higher effects on beta CAPM and stock price of Vietinbank (CTG). Risk free rate and lending rate have positive correlation with these 2 variables. Then, this study can enable to propose management implications and risk management to enhance banking sustainability strategies.

scholarly journals A Green′s function for a convertible bond using the Vasicek model

2002 ◽  
Vol 2 (5) ◽  
pp. 219-232 ◽  
Author(s):  
R. Mallier ◽  
A. S. Deakin
Keyword(s):  
Random Walk ◽  
Laplace Transform ◽  
Stock Price ◽  
Mellin Transform ◽  
Convertible Bond ◽  
Vasicek Model ◽  
Function Solution ◽  
Risk Free Rate ◽  
Free Rate

We consider a convertible security where the underlying stock price obeys a lognormal random walk and the risk-free rate is given by the Vasicek model. Using a Laplace transform in time and a Mellin transform in the stock price, we derive a Green′s function solution for the value of the convertible bond.

Effect of Short-sale Constraints on Stock Price Manipulation

2013 ◽  
Vol 18 (2) ◽  
pp. 208-232 ◽  
Author(s):  
Junfeng Qiu ◽  
Yongli Zhang
Keyword(s):  
Stock Price ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Price Manipulation

scholarly journals Valuing Coca-Cola And PepsiCo Options Using The Black-Scholes Option Pricing Model And Data Downloads From The Internet

2012 ◽  
Vol 8 (6) ◽  
pp. 559-564
Author(s):  
John C. Gardner ◽  
Carl B. McGowan Jr
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Option Price ◽  
Option Prices ◽  
Pricing Model ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Risk Free Rate ◽  
Daily Returns ◽  
Free Rate

In this paper, we demonstrate how to collect the data and compute the actual value of Black-Scholes Option Pricing Model call option prices for Coca-Cola and PepsiCo.The data for the current stock price and option price are taken from Yahoo Finance and the daily returns variance is computed from daily prices.The time to maturity is computed as the number of days remaining for the stock option.The risk-free rate is obtained from the U.S. Treasury website.

THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION

2013 ◽  
Vol 16 (04) ◽  
pp. 1350022
Author(s):  
JIN E. ZHANG ◽  
SHOUJUN HUANG ◽  
TIECHENG LI
Keyword(s):  
Asymptotic Expansion ◽  
Singular Point ◽  
Stock Price ◽  
American Option ◽  
Payoff Function ◽  
Expiration Date ◽  
Dividend Yield ◽  
Risk Free Rate ◽  
Free Rate

In this paper, we study the intersection between the price of a European put and its payoff function. We derive asymptotic expansion formulas for the intersection near expiration date for three different cases of risk-free rate r and dividend yield q, i.e. r > q, r = q, and r < q. The comparison with those of the critical stock price of an American option enhances our understanding on the convergence of the asymptotic expansion near a singular point.

scholarly journals Analyst Downgrades, Short Sale Constraints, And Intra-Day Stock Price Efficiency

2015 ◽  
Vol 31 (4) ◽  
pp. 1343
Author(s):  
Kevin Zhao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Price Efficiency ◽  
Price Response ◽  
Short Sale Constraints ◽  
Short Sale ◽  
New Information ◽  
After Hours ◽  
And Control ◽  
The Impact

This paper studies the impact of short sale constraints on stock price efficiency upon arrival of analyst downgrades. Examining the speed of which stock price response to analyst downgrades for pilot (short sale non-constrained) stocks and control (short sale constrained) stocks in an intra-day setting, I find evidence supporting the hypothesis that short sale constrains hamper intra-day stock price efficiency. For after-hours downgrades, pilot stocks respond quickly, with virtually all of the price response incorporated by the following open, while control stocks take an extra five minutes after opening to fully reflect the new information. For during-hour downgrades, the negative information is partially incorporated into pilot stock prices up to two hours before the recommendation is released, while control stocks take up to an hour and a half after the release to impound the information into stock price, confirming that short sale constraints lower stock price efficiency.

Better Risk Management of Banks and Sustainability - A Case Study in Vietnam

2021 ◽  
Vol 11 (2) ◽  
pp. 481-490
Author(s):  
Nguyen Thi Hang ◽  
Dinh Tran Ngoc Huy ◽  
Le Thu Ha ◽  
Do Hong Nhung
Keyword(s):  
Risk Management ◽  
Stock Price ◽  
Industry 4.0 ◽  
Quantitative Methods ◽  
Management Strategies ◽  
Industrial Manufacturing ◽  
Rapid Economic Growth ◽  
Risk Free Rate ◽  
Free Rate

Modern advanced bank risk management is a current and hot issue for all Vietnam banks, during the context of industry 4.0. Because of rapid economic growth under impacts of China-US commerce war and effects from Covid 19, as welll as industry 4.0, enhancing roles of banks in Vietnam economic development is becoming necessary. This paper also refers to new perspectives on corporate governance issues that can be applied into bank management. This study mainly use combination of quantitative methods and qualitative methods including synthesis, inductive and explanatory methods for a special case of big listed bank in Vietnam, Eximbank. The results show us that better management of bank need to forecast effects from GDP growth, Industrial manufacturing (IM) and Risk free rate (Rf) on both beta and stock price of Eximbank (EIB), in this case we found out there is positive relationship. Then, we can suggest suitable plans for risk management to enhance the bank roles and sustainable management strategies.

ENDOGENOUS SHORT-SALE CONSTRAINT, STOCK PRICES AND OUTPUT CYCLES

1997 ◽  
Vol 1 (1) ◽  
pp. 228-254 ◽  
Author(s):  
HAROLD H. ZHANG
Keyword(s):  
Risk Aversion ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Time Preference ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Price Movements ◽  
Negative Shock ◽  
Stock Price Movements

This study examines the effect of short-sale constraints on a stock market, in particular, on stock prices, trading volume, and the relationship between stock price movements and output cycles. The economic model features incomplete markets and heterogeneous agents. The short-sale constraint is endogenously determined in the economy and is a function of agents' risk aversion, time preference, and exogenous driving forces. The dynamic model is solved using a policy function iteration algorithm. We find that, for an array of reasonable time-preference parameters and risk-aversion coefficients, the short sale limits range from 27 to 45% of total outstanding shares. Imposing short-sale constraints causes stock prices to move upward. Trading volume is high when some agents have a large amount of stock holdings but incur a negative shock on their nonfinancial income and is low when some agents have few stock holdings and also incur a negative shock to their nonfinancial income. Stock prices are found to be countercyclical and the expected stock returns are procyclical. These countercyclical stock-price movements are shown to be related to the imposition of a short-sale constraint.

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