| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3292 |
| DP3292 Regulating Insider Trading when Investment Matters | |
| Xavier Vives; Luis Angel Medrano | |
| 发表日期 | 2002-04-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | In this article, we show how to analyse analytically the equilibrium policies and prices in an economy with a stochastic investment opportunity set and incomplete financial markets, when agents have power utility over both intermediate consumption and terminal wealth, and face portfolio constraints. The exact local comparative statistics and approximate but analytical expression for the portfolio policy and asset prices are obtained by developing a method based on perturbation analysis to expand around the solution for an investor with log utility. We then use this method to study a general equilibrium exchange economy with multiple agents who differ in their degree of risk aversion and face borrowing constraints. We characterize explicitly the consumption and portfolio policies and also the properties of asset returns. We find that the volatility of stock returns increases with the cross-sectional dispersion of risk aversion, with the cross-sectional dispersion in portfolio holdings, and with the relaxation of the constraint on borrowing. Moreover, tightening the borrowing constraint lowers the risk-free interest rate and raises the equity premium in equilibrium. |
| 主题 | Financial Economics |
| 关键词 | Asset allocation Stochastic investment opportunities Incomplete markets Borrowing constraints Asymptotic analysis |
| URL | https://cepr.org/publications/dp3292 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532321 |
| 推荐引用方式 GB/T 7714 | Xavier Vives,Luis Angel Medrano. DP3292 Regulating Insider Trading when Investment Matters. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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