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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. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w23455.pdf(505KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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