全球智库信息集成服务系统(G2TT): Asset Pricing in the Quest for the New El Dorado

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w23455
来源ID	Working Paper 23455
	Asset Pricing in the Quest for the New El Dorado
	Daniel Andrei; Bruce I. Carlin
发表日期	2017-05-29
出版年	2017
语种	英语
摘要	Creative destruction not only involves bringing new technology to market, it imposes higher risk on the future of existing assets. We characterize the asset pricing implications of creative destruction when investors compete for market share. Compared to the social optimum, the quest for oligopoly rents leads to over-investment in uncertain projects, spikes in asset prices and risk premia, and an aftermath in which prices fall steeply as uncertainty resolves. These pricing patterns resemble a bubble ex post, but arise solely from competitive behavior and do not require information asymmetry, behavioral biases, or financial frictions. Our analysis yields novel empirical predictions and we discuss how financial innovation might be used to predict bubbles ex ante.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Industrial Organization ; Market Structure and Firm Performance
URL	https://www.nber.org/papers/w23455
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/581128
推荐引用方式 GB/T 7714	Daniel Andrei,Bruce I. Carlin. Asset Pricing in the Quest for the New El Dorado. 2017.