| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23476 |
| 来源ID | Working Paper 23476 |
| Complex Asset Markets | |
| Andrea L. Eisfeldt; Hanno Lustig; Lei Zhang | |
| 发表日期 | 2017-06-05 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We develop a dynamic equilibrium model of complex asset markets with endogenous entry and exit in which the investment technology of investors with more expertise is subject to less asset-specific risk. The joint equilibrium distribution of financial expertise and wealth then determines risk bearing capacity. Higher expert demand lowers equilibrium required returns, reducing overall participation. In equilibrium, investor participation in more complex asset markets with more asset-specific risk is lower, despite higher market- level Sharpe ratios, provided that asset complexity and expertise are complementary. We analyze how asset complexity affects the stationary wealth distribution of complex asset investors. Because of selection, increased asset complexity reduces wealth concentration, even though the wealth distribution for more expert investors has fatter tails. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Labor Economics ; Labor Market Structures |
| URL | https://www.nber.org/papers/w23476 |
| 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/581150 |
| 推荐引用方式 GB/T 7714 | Andrea L. Eisfeldt,Hanno Lustig,Lei Zhang. Complex Asset Markets. 2017. |
| 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 | ||
| w23476.pdf（848KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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