| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12416 |
| DP12416 Financial Innovation and Asset Prices | |
| Adrian Buss | |
| 发表日期 | 2017-11-01 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We study the effects of financial innovation on the dynamics of asset prices. We show that when some investors are less well informed about the new asset but rationally learn about it, many "intuitive'' results are reversed: financial innovation increases the volatility of investors' portfolios along with the return volatility and risk premium for the new asset, which decline to their pre-innovation levels only slowly. Moreover, illiquidity of the new asset causes shocks to the new asset to spill over to the traditional asset, increasing their return correlation and giving rise to a liquidity premium for the new asset. |
| 主题 | Financial Economics |
| 关键词 | Differences in beliefs Parameter uncertainty Rational learning Spillover effects Recursive utility |
| URL | https://cepr.org/publications/dp12416 |
| 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/541225 |
| 推荐引用方式 GB/T 7714 | Adrian Buss. DP12416 Financial Innovation and Asset Prices. 2017. |
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