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来源类型Working Paper
规范类型报告
DOI10.3386/w23455
来源IDWorking 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
URLhttps://www.nber.org/papers/w23455
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/581128
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Daniel Andrei,Bruce I. Carlin. Asset Pricing in the Quest for the New El Dorado. 2017.
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