MARGIN TRADING: A RISK‐RETURN ANALYSIS
基于资本结构模型、资本资产定价模型和期权定价模型，分析保证金交易中权益回报的风险溢价、总风险和系统风险，并给出更精确的估值公式。
This paper attempts to present an integrated valuation analysis of investment options involving margin trading. The analysis is based on valuation theories such as Modigliani and Miller's capital structure model, the capital asset pricing model and the option pricing model. It is shown (i) that in margin trading, the return on equity is given by the return on investment plus a risk premium which increases proportionally with the margin‐trading rate; (ii) that both the total risk (variance) and systematic risk (beta) of the return on equity increases proportionally with those associated with the return on investment; and (iii) that, when the option pricing model is applied to the case of margin trading, a more precise valuation formula can be employed.