| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12075 |
| 来源ID | Working Paper 12075 |
| Asset Prices When Agents are Marked-to-Market | |
| Gary Gorton; Ping He; Lixin Huang | |
| 发表日期 | 2006-03-06 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | "Risk management" in securities markets refers to the oversight of portfolio managers and professional traders when they trade on behalf of investors in security markets. Monitoring of their trading performance, profit and loss, and risk-taking behavior, is measured by principals using security market prices. We study the optimality of the practice of marking-to-market and provide conditions under which investing principals should optimally monitor their agent traders using market prices to measure traders' performance. Asset prices, however, can be affected by mark-to-market contracts. We show that such contracts introduce an externality when there are many traders. Traders may rationally herd, trading on irrelevant information. Ironically, this causes asset prices to be less informative than they would be without the mark-to-market feature. |
| URL | https://www.nber.org/papers/w12075 |
| 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/569728 |
| 推荐引用方式 GB/T 7714 | Gary Gorton,Ping He,Lixin Huang. Asset Prices When Agents are Marked-to-Market. 2006. |
| 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 | ||
| w12075.pdf（307KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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