Transaction Risk, Derivative Assets, and Equilibrium

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2016-02-15 DOI:10.1142/S2010139216500014
H. Cao, Dongyan Ye
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引用次数: 2

Abstract

We describe a rational expectations model in which there is not only asymmetric information about payoffs but also asymmetric information about the preference, proportion and precision of private information of investors. We define this payoff-irrelevant risk as transaction risk, which is described by market state variables unrelated to payoffs. When derivative assets are introduced, the prices of the derivative assets can reveal information about transaction risk. Due to the informational role of derivative-asset prices, introducing derivative assets can increase social welfare and the price of the underlying asset even though no investors are trading in these derivative assets.
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交易风险、衍生资产和均衡
本文描述了一个理性预期模型,该模型不仅存在收益信息的不对称,而且存在投资者对私人信息的偏好、比例和精度的不对称。我们将这种与收益无关的风险定义为交易风险,交易风险由与收益无关的市场状态变量描述。当引入衍生资产时,衍生资产的价格可以揭示交易风险的信息。由于衍生资产价格的信息作用,即使没有投资者交易这些衍生资产,引入衍生资产也可以增加社会福利和基础资产的价格。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
发文量
0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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