英文标题：
《Deleveraging, short sale constraints and market crash》
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作者：
Liang Wu, Lei Zhang and Zhiming Fu
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最新提交年份：
2015
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英文摘要：
  In this paper, we develop a theory of market crashes resulting from a deleveraging shock. We consider two representative investors in a market holding different opinions about the public available information. The deleveraging shock forces the high confidence investors to liquidate their risky assets to pay back their margin loans. When short sales are constrained, the deleveraging shock creates a liquidity vacuum in which no trades can occur between the two representative investors until the price drop to a threshold below which low confidence investors take over the reduced demands. There are two roles short sellers could play to stabilize the market. First, short sellers provide extra supply in a bullish market so that the price of the asset is settled lower than otherwise. Second, short sellers catch the falling price earlier in the deleveraging process if they are previously allowed to hold a larger short position. We apply our model to explain the recent deleveraging crisis of the Chinese market with great success.
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中文摘要：
在本文中，我们发展了一个关于去杠杆冲击导致的市场崩溃的理论。我们考虑两个代表性投资者在一个市场上对公开信息持有不同意见。去杠杆冲击迫使高信心投资者清算其风险资产，以偿还保证金贷款。当卖空受到限制时，去杠杆冲击会造成一个流动性真空，在这一真空中，两个代表性投资者之间无法进行交易，直到价格下降到一个阈值，低于该阈值，低信心投资者将接管减少的需求。卖空者可以扮演两个角色来稳定市场。首先，卖空者在牛市中提供额外的供应，以便资产的价格比其他情况下更低。其次，如果之前允许卖空者持有更大的空头头寸，那么卖空者会在去杠杆化过程中更早地捕捉到下跌的价格。我们运用我们的模型成功地解释了最近中国市场的去杠杆化危机。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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