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Adjusting the Volume: Essays on Asset Trading Volume.

机译：调整量：资产交易量论文。

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摘要

While there is an extensive literature on asset pricing, there is very little theoretical or empirical work that analyzes the trading volume of assets. This paper thus firstly analyzes stock market data from 1947 through 2005, revealing an inverse relationship between changes in trading volume and changes in GDP. This paper examines one potential cause for this relationship: the variation in labor income over the business cycle.;This paper examines an incomplete markets economy, one in which agents cannot write insurance contracts protecting them against changes in future income. The agents face aggregate uncertainty through a dividend (which grants a share of the aggregate endowment) as well as systematic labor income risk (tied to variations in the total endowment). The model is in the class of stochastic dynamic general equilibrium models with incomplete markets (GEI models). Furthermore, the agents are faced with idiosyncratic labor income shocks (through a stochastic sharing rule). Their ability to smooth consumption is limited by borrowing constraints and short-sale constraints. The solution methods employed are from recent literature and produce results that are more robust than similar models.;Simulations of this economy show negative correlations between stock trading and changes to GDP, pointing to the counter-cyclical trading from changes in idiosyncratic income. The results also characterize the portfolio selection of agents and how they use both markets for consumption smoothing. Furthermore, proposals to introduce "Tobin Taxes" are analyzed through the introduction of trading costs. The results show a sharp decrease in the amount of trading in risky assets with an increase in the probability of the agents being borrowing constrained. This points to the potential for a slight decrease in welfare as agents are forced out of the stock market. The frictions in the market also increase the equity premium and decrease price of stocks. Compared to the frictionless market, trading volume falls greatly no matter the size of the friction as agents move to the unencumbered market.
机译：尽管有大量关于资产定价的文献，但是很少有理论或经验的工作来分析资产的交易量。因此，本文首先分析了1947年至2005年的股市数据，揭示了交易量变化与GDP变化之间的反比关系。本文研究了这种关系的一个潜在原因：劳动收入在整个商业周期中的变化。本文研究了一种不完全的市场经济，在这种经济中，代理人无法撰写保险合同来保护他们免受未来收入的变化的影响。代理商通过股息（分配了总捐赠额的一部分）以及系统的劳动收入风险（与总捐赠额的变化有关）面临总体不确定性。该模型属于具有不完全市场的随机动态一般均衡模型（GEI模型）。此外，代理人还面临着特殊的劳动收入冲击（通过随机分配规则）。借贷限制和卖空限制限制了其平滑消费的能力。所采用的求解方法来自最新文献，并且得出的结果比相似的模型更可靠。该经济的模拟表明，股票交易与GDP变动之间存在负相关，并指出了特殊收入的反周期交易。结果还表征了代理商的投资组合选择，以及代理商如何使用两个市场进行消费平滑。此外，通过引入交易成本来分析引入“托宾税”的建议。结果表明，风险资产的交易量急剧下降，而代理商受到借款约束的可能性也增加了。这表明随着代理商被迫退出股票市场，福利可能会略有下降。市场的摩擦也增加了股票溢价，并降低了股票价格。与无摩擦市场相比，无论代理商的规模如何变化，交易量都会大大下降，因为代理商会转向不受限制的市场。

著录项

  • 作者

    Sarolli, Giandomenico.;

  • 作者单位

    University of Virginia.;

  • 授予单位 University of Virginia.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2010
  • 页码 66 p.
  • 总页数 66
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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