| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15254 |
| 来源ID | Working Paper 15254 |
| Aggregate Implications of Micro Asset Market Segmentation | |
| Chris Edmond; Pierre-Olivier Weill | |
| 发表日期 | 2009-08-13 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper develops a consumption-based asset pricing model to explain and quantify the aggregate implications of a frictional financial system, comprised of many financial markets partially integrated with one-another. Each of our micro financial markets is inhabited by traders who are specialized in that market's type of asset. We specify exogenously the level of segmentation that ultimately determines how much idiosyncratic risk traders bear in their micro market and derive aggregate asset pricing implications. We pick segmentation parameters to match facts about systematic and idiosyncratic return volatility. We find that if the same level of segmentation prevails in every market, traders bear 20% of their idiosyncratic risk. With otherwise standard parameters, this benchmark model delivers an unconditional equity premium of 3.3% annual. We further disaggregate the model by allowing the level of segmentation to differ across markets. This version of the model delivers the same aggregate asset pricing implications but with only half the amount of segmentation: on average traders bear 10% of their idiosyncratic risk. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15254 |
| 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/572930 |
| 推荐引用方式 GB/T 7714 | Chris Edmond,Pierre-Olivier Weill. Aggregate Implications of Micro Asset Market Segmentation. 2009. |
| 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 | ||
| w15254.pdf（398KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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