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시장마찰하에서의 자산가격결정 기본원리: 유한상태경제
Reports NRF is supported by Research Projects( 시장마찰하에서의 자산가격결정 기본원리: 유한상태경제 | 2004 Year | 원동철(아주대학교) ) data is submitted to the NRF Project Results
Researcher who has been awarded a research grant by Humanities and Social Studies Support Program of NRF has to submit an end product within 6 months(* depend on the form of business)
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  • Researchers have entered the information directly to the NRF of Korea research support system
Project Number B00236
Year(selected) 2004 Year
the present condition of Project 종료
State of proposition 재단승인
Completion Date 2006년 04월 25일
Year type 결과보고
Year(final report) 2006년
Research Summary
  • Korean
  • Harrison-Kreps (1979)와 Dybvig-Ross (1989)는 무마찰(frictionless) 금융자산시장에서 (i) 아비트라지의 부재조건, (ii) 가격결정함수 (또는 동등마팅게일측도(equivalent martingale measure))의 존재 및 (iii) 투자자의 효용을 극대화시키는 최적 포트폴리오 존재 등의 세 가지 조건이 동등하다는 자산가격결정의 기본정리(the fundamental theorem of asset pricing, FTAP)를 정립하였다. FTAP는 아비트라지 개념이 균형가격을 분석하는데 사용되는 개념적 틀로서 실증적, 이론적으로 적합(appropriateness)함을 가리킨다. (i)과 (ii)의 동등성 관계는 아비트라지 가격결정이론(arbitrage pricing theory)의 실증적 검증을 가능하게 하는 근거를 제공한다는 점에서 매우 중요하다. (i)과 (iii)의 동등성 관계는 아비트라지 이론이 균형가격의 성질을 규명하는데 필요충분하다는 사실을 보여준다는 점에서 아비트라지가 시장균형을 분석하는 개념적 틀로서 내적 일관성(internal coherence)을 갖고 있음을 시사하는 것이다.
    그러나 Harrison-Kreps (1979)와 Dybvig-Ross (1989)에서 사용된 아비트라지 개념은 조세제도, 증거금제도(margin requirements), 거래비용, 공매제약(short-selling constraints)과 같은 시장마찰(market frictions)이 존재하는 시장의 가격결정원리를 설명하는데 적용될 수 없다. 예를 들어, 일가의 법칙(the law of one price)에 의하면 대출이자율과 대여이자율이 같아야 하지만 현실의 세계에서는 시장마찰로 인해 후자가 전자보다 항상 크다. 따라서 자산가격결정에 대한 시장마찰의 영향을 분석하려면 새로운 형태의 아비트라지 개념이 필요하다. 본 연구는 거래비용과 조세가 존재하는 금융자산시장의 자사가격결정원리를 분석하는데 적합한 아비트라지 개념을 제시하고 그것을 근간으로 하여 FTAP를 정립하는 것을 목적으로 한다. 특히, 본 논문에서 제시된 아비트라지 개념이 FTAP의 세가지 동등성 관계를 충족하므로 거래비용과 조세가 존재하는 금융자산시장의 균형이론과 가격결정원리를 규명하는데 실증적, 이론적 적합성 기준을 충족한다. 따라서 본 논문의 연구결과는 무마찰시장에서 정립된 FTAP를 거래비용과 조세가 존재하는 금융자산시장으로 확장한 것이다.
  • English
  • Borrowing and lending rates differ in the real world. The spread
    between them is ascribed to financial intermediation, which is
    costly due to market frictions. This is an easy example where the
    law of one price is violated in the face of market
    frictions.\fn{Evidences of mispricing are abundant in the
    literature; stock index futures (Canina and Figlewski (1995)),
    primes and scores (Jarrow and O'Hara (1989)), closed-end funds
    (Pontiff (1996)), stock options (Conrad (1989)) among others.} The
    arbitrage pricing theory which does not take market frictions into
    account may be unable to characterize asset prices in economies
    which are far from being ideal. The effect of market frictions on
    asset pricing must be properly understood to make an asset pricing
    theory come closer to reality.

    This paper establishes the fundamental theorem of asset pricing
    (FTAP) with market frictions like taxes and transaction costs by
    introducing a unifying notion of arbitrage. Specifically, we show the
    triple equivalence between (i) the absence of arbitrage, (ii) the
    existence of pricing rule, and (iii) viability of pricing rule in
    frictional markets. Consequently, the paper extends the FTAP without
    market frictions examined in Harrison and Kreps (1979), Dybvig and
    Ross (1989), and Magill and Quinzii (1996) to the case with the
    market frictions under study. It is assumed that the presence of
    market frictions make net returns a nonlinear functions of portfolio
    choices and asset prices. In this case, the pricing functional
    which admits no arbitrage is nonlinear in general. The equivalence
    between (i) and (ii) has important implications for asset valuation
    as well as testability of arbitrage pricing theory while the
    equivalence between (ii) and (iii) vindicates the coherence of
    arbitrage as a conceptual framework for equilibrium analysis.
    `Arbitrage' pricing theory would be almost vacuous if it undergos
    serious failure in viability test.

    A distinct advantage of the paper over the literature is minimal
    information requirement to capture the pricing rules. It is shown
    that the form of the pricing rules is determined by the asymptotic
    %behavior of the size of the total frictional costs relative to the
    %magnitude of the chosen portfolio.
    curvature of the functional form of frictional costs. Thus the paper
    is in sharp contrast to the literature which aims to find the
    pricing rules by identifying the marginal frictional cost. When frictional costs are a nonlinear
    functions of portfolios, the marginal frictional cost can be
    calculated only when both the cost function and the reference
    portfolio are known. Such informational requirement is much stronger
    than the knowledge of the asymptotic properties of the cost
    function.
Research result report
  • Abstract
  • The spread between borrowing and lending interest rates is
    an easy real-world example for the failure of the law of one price.
    The arbitrage pricing theory which does not take market frictions
    into account may be unable to characterize asset prices in markets
    which are far from being ideal. This paper establishes the
    fundamental theorem of asset pricing (FTAP) with market frictions
    such as taxes and transaction costs by introducing a unifying notion
    of arbitrage. First of all, we show that the existence of pricing
    rules is equivalent to the absence of arbitrage. Moreover, pricing
    rules satisfy the no arbitrage condition if and only if they are
    viable. The first result has important implications for asset
    valuation as well as testability of arbitrage pricing theory while
    the second one vindicates the coherence of arbitrage as a conceptual
    framework for equilibrium analysis. A distinct advantage of the
    paper over the literature is minimal information requirement to
    capture the pricing rules.
  • Research result and Utilization method
  • 거래비용과 조세와 같은 시장마찰이 존재하는 금융자산시장에서 아비트라지 부재조건, 상태가격의 존재조건 및 자산가격의 viability의 세 조건이 동등하다는 자산가격결정의 기본정리를 정립함. 이러한 결과는 거래비용과 조세가 금융자산가격의 균형가격과 파생상품의 가격결정에 미치는 영향을 분석하는데 기여함.
  • Index terms
  • The fundamental theorem of asset pricing, arbitrage, taxes, transaction costs, equilibrium.
  • List of digital content of this reports
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