Earticle

초록

영어

We study a simple model in which arbitrageurs trade assets in infinitely repeated stages and a financial crisis may occur due to redemption requests of investors on arbitrageurs. If the asset is undervalued, the arbitrageurs buy the asset to make profits. But the mispricing may become even larger in the next period and the arbitrageurs will take huge losses temporarily. Even though the asset price will recover its fundamental value in the end, the temporary losses of the arbitrageurs can force the arbitrageurs to liquidate the funds due to the redemption requests and stay away from the market in all the subsequent stages. Thus, patience of arbitrageurs (the relative weight to the future profits) affects possibility of a financial crisis. This paper shows two properties on the discount factor. First, a financial crisis without external shocks can arise only when arbitrageurs are impatient, and second, if such a crisis may arise, high patience of arbitrageurs mitigates the crisis but enlarges the pre-crisis mispricing. The model setup mimics the modern financial markets and some of them may be viewed as market frictions which prohibit market efficiency. The simplicity of the model allows a closed-form solution.

목차

Abstract
Ⅰ. Introduction
Ⅱ. The Model
Ⅲ. Equilibrium and Implication
Ⅳ. Conclusion
References

키워드

저자

• Kyoungwon Seo [ Associate Professor, Seoul National University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330