| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22697 |
| 来源ID | Working Paper 22697 |
| Impediments to Financial Trade: Theory and Applications | |
| Nicolae Gârleanu; Stavros Panageas; Jianfeng Yu | |
| 发表日期 | 2016-10-03 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We propose a tractable model of an informationally inefficient market featuring non-revealing prices, no noise traders, and general assumptions on preferences and payoff distributions. We show the equivalence between our model and a substantially simpler model whereby investors face distortionary investment taxes depending both on their identity and the asset class. This equivalence allows us to account for such phenomena as under-diversification. We further employ the model to assess approaches to performance evaluation, and find that it provides a theoretical basis for some intuitive practices adopted by finance professionals, such as style analysis. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w22697 |
| 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/580370 |
| 推荐引用方式 GB/T 7714 | Nicolae Gârleanu,Stavros Panageas,Jianfeng Yu. Impediments to Financial Trade: Theory and Applications. 2016. |
| 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 | ||
| w22697.pdf（424KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
