上海交通大学学报

上海交通大学学报（自然版）

• 管理科学 • 上一篇    下一篇

基于非对称信息的融资融券业务成本

周仁才1,2   

  1. （1．上海交通大学 安泰经济与管理学院，上海 200052； 2．东方证券股份有限公司，上海 200010）
  • 收稿日期:2009-04-12 修回日期:1900-01-01 出版日期:2010-03-30 发布日期:2010-03-30

Study on the Cost of Financing Securities Based on Asymmetric Information

ZHOU Rencai1,2   

  1. (1．Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200052,China；2．Orient Securities Co. Ltd., Shanghai 200010, China)
  • Received:2009-04-12 Revised:1900-01-01 Online:2010-03-30 Published:2010-03-30

摘要： 引入信息不对称，构建证券公司和投资者之间的博弈模型，对融资融券业务过程中的机会成本进行量化分析.同时，针对融资融券业务导致的投资组合风险暴露进行定量分析，得出证券公司开展相关融通业务的条件，认为无条件契约将为证券公司带来更大效用.

关键词: 融资融券, 信息不对称, 逆选择, 组合调整

Abstract: The security company should consider the loss on investment opportunity and capital structure adjusting during financing securities. Using information asymmetry, this article constructs a game model between security company and investors, and quantitatively analyses the opportunity cost. Furthermore, through analyzing the investment portfolio risk exposure caused by financing securities and the condition about the security company’s engaging in financing securities, the article concludes that the unconditional contract gives more utility for the security company.

中图分类号: