| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14257 |
| DP14257 Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing | |
| Bruno Biais; Johan Hombert; Pierre-Olivier Weill | |
| 发表日期 | 2019-12-28 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates of substitution, so that they value assets differently. Consequently, agents hold different portfolios. This leads to endogenous markets segmentation, which we characterize with Optimal Trans- port methods. Moreover, there is a basis going always in the same direction: the price of a security is lower than that of replicating portfolios of long positions. Finally, equilibrium expected returns are concave in factor loadings. |
| 主题 | Financial Economics |
| 关键词 | General equilibrium Asset pricing Collateral constraints Endogenously incomplete |
| URL | https://cepr.org/publications/dp14257-0 |
| 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/543145 |
| 推荐引用方式 GB/T 7714 | Bruno Biais,Johan Hombert,Pierre-Olivier Weill. DP14257 Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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