主题 / Topic：Market frictions and the anatomy of an arbitrage
时间 / Time：3月16日（周五）｜March 16th (Friday) 2：00 - 5：00 PM
地点 / Venue：文波207教室｜Room 207，Wenbo Building
主讲 / Speaker
Jason教授本科毕业于美国杜兰大学科学学院，在亚利桑那大学获得数经济学博士学位。曾任职于加州大学圣迭戈分校、新加坡国立大学、厦门大学。他现在为英国杜伦大学商学院实验经济学教授，硕士博士生导师，研究院副经理。主要研究方向为实验经济学，行为博弈论，行为运作管理，资本市场和拍卖等。研究成果发表于"Management Science, Marketing Science, Journal of Economic Theory, Games and Economic Behavior" 等国际一流学术期刊上。
研究领域/Research Interests
实验经济学，行为博弈论，行为运作管理
Experimental Economics，Behavioural Game Theory，Behavioural Operations Management
摘要/Abstract
Under many models of asset markets persistent arbitrage opportunities only exist when market frictions, such as limited short sales and restricted leverage, constrain traders' capacities to exploit and compete away these opportunities. We show in a series of laboratory markets for a single asset, for which there is a certain fundamental value, eliminating these frictions does not drive out frequent arbitrage opportunities. Baseline experiments forbid short sales and leveraged purchases, and we observe significant arbitrage involving both over- and under-pricing of the asset. When we introduce generous short-sell capacities, arbitrage opportunities are not extinguished but their nature changes. The magnitude and frequency of arbitrages involving over-pricing is reduced, but increase for arbitrages involving under-pricing. When we introduce generous capacities for leveraged purchases, the frequency of under-pricing arbitrage decreases while that of the over-pricing increases. Surprisingly, when we introduce both generous short-sale and leveraged purchase facilities the presence and nature of arbitrage opportunities returns to the baseline levels. We also discover arbitrage opportunities are greatly reduced when we increase the market capitalization of the baseline by either increasing the number of market participants by 150%, or by increasing each trader's endowment by 150%. This study provides evidence that arbitrage opportunities are greatly reduced, and correspondingly asset markets are more price efficient, not by relaxing market frictions but rather by increasing capitalization while maintaining frictions.
