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主讲人 |
Ren Raw Chen |
简介 |
<p>During the recent financial crisis, we have witnessed unprecedented compressions of asset prices. In a recent paper, Chen (2012) proposes a liquidity discount model that can successfully explain large price falls. In this article, we provide alternative valuations to the Chen model. Building on the same framework, we provide a new polynomial representation of the liquidity discount. We also simplify the Chen model to a closedform solution in a situation where there is no trading in the market place. We demonstrate in analytical forms that convexity in a security payoff is absolutely positively related to liquidity discounts. </p>
<p> </p>
<p>Finally, we contribute to the literature in relating the Chen model to trading volume (e.g. Karpoff (1986, 1987)). Using the price and trading volume data of the 9 largest financial<br />
firms in the U.S., we find strong support of the Chen model.</p> |
|
主讲人简介 |
<p>Full professor at Fordham University,</p>
<p>Fields of Interests: Liquidity Quantification. Credit Derivatives. Equilibrium Option Pricing. Real Options. Mortgage Backed Securities. Term Structure of Interest Rates.</p>
<p><a href="/EventsMgr/Upload/File/2015/5/20150527095641744.pdf"><u><span style="color: rgb(0, 0, 255);">Prof. Chen's CV</span></u></a></p> |
期数 |
厦门大学金融经济学系列讲座2015夏季学期第一讲（总第2讲） |
