Debt Financing in Asset Markets
通过扩展Geanakoplos（2009）的框架，研究动态资产定价模型中的滚动风险和抵押品价值，发现乐观借款人即使在滚动风险下也应选择最大无风险短期债务融资，且中期交易通过允许债权人将抵押品出售给其他乐观者来提升资产价格。
We study rollover risk and collateral value in a dynamic asset pricing model with endogenous debt financing by extending the framework of Geanakoplos (2009) with a generic binomial tree and time-varying heterogeneous beliefs. Optimistic borrowers face rollover risk if the belief dispersion between the borrowers and the pessimistic lenders widens after interim bad news. We demonstrate the optimality of the maximum riskless short-term debt financing for optimistic borrowers even in the presence of the rollover risk. We also highlight the role of interim trading which, by allowing creditors to sell seized collateral to other optimists with saved cashes, boosts the asset's collateral value and equilibrium price.