| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23986 |
| 来源ID | Working Paper 23986 |
| Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing | |
| Bruno Biais; Johan Hombert; Pierre-Olivier Weill | |
| 发表日期 | 2017-11-06 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates of substitution, so that they value assets differently. Consequently, agents hold different portfolios. This leads to endogenous markets segmentation, which we characterize with Optimal Trans-port methods. Moreover, there is a basis going always in the same direction: the price of a security is lower than that of replicating portfolios of long positions. Finally, equilibrium expected returns are concave in factor loadings. |
| 主题 | Microeconomics ; General Equilibrium ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w23986 |
| 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/581661 |
| 推荐引用方式 GB/T 7714 | Bruno Biais,Johan Hombert,Pierre-Olivier Weill. Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing. 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 | ||
| w23986.pdf（757KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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