时间：2012年11月27日（周二）14:00-15:30
地点：北大8797威尼斯老品牌305
演讲者： 张国平教授，曾在台湾清大計量財务金融系任系主任 , 現是清大榮譽退休教授
题目：Some Misconceptions in Derivative Pricing
摘要：This paper has used the Arbitrage Theorem (Gordan Theorem) to show that first, all securities are derivatives for each other, and they are priced by the same risk neutral probability measure. Second, after the firm changes its debt-equity ratio, the equityholders can always combine the new equity with other existing securities to create a home-made equity which will give exactly the same time-1 payoff of the old equity. That is, we have a capital structure irrelevancy propo-sition: changes in firms’ debt-equity ratios will not affect equityholders’ wealth (welfare), and equityholders’ prefer-ences toward variance are irrelevant. Third, when the firm moves from a more certain project to a more uncertain one, the time-0 price of equity will increase, but (because the time-1 payoff of common bond has an upper bound) the time-0 price of common bond will decrease. Fourth, different labor contractual arrangements will not affect the time-0 price of labor input. When the firm moves from a more certain project to a more uncertain one, the time-0 price of labor input will increase if it is under the share or the mixed contract.
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