| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9840 |
| 来源ID | Working Paper 9840 |
| Financial Innovation, Market Participation and Asset Prices | |
| Laurent Calvet; Martin Gonzalez-Eiras; Paolo Sodini | |
| 发表日期 | 2003-07-14 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risks. The introduction of non-redundant assets endogenously modifies the participation set, reduces the covariance between dividends and participants' consumption and thus leads to lower risk premia. In multisector economies, financial innovation spreads across markets through the diversified portfolio of new entrants, and has rich effects on the cross-section of expected returns. The price changes can also lead some investors to leave the markets and give rise to non-degenerate forms of participation turnover. The model is consistent with several features of financial markets over the past few decades: substantial innovation; higher participation; significant turnover in investor composition; improved risk management practices; a slight increase in interest rates; and a reduction in risk premia. |
| 主题 | Microeconomics ; General Equilibrium ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w9840 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567464 |
| 推荐引用方式 GB/T 7714 | Laurent Calvet,Martin Gonzalez-Eiras,Paolo Sodini. Financial Innovation, Market Participation and Asset Prices. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9840.pdf（618KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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