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
{"title":"Transaction Risk, Derivative Assets, and Equilibrium","authors":"H. Cao, Dongyan Ye","doi":"10.1142/S2010139216500014","DOIUrl":null,"url":null,"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.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.9000,"publicationDate":"2016-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Journal of Finance","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1142/S2010139216500014","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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。
求助全文
约1分钟内获得全文 去求助
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.
期刊最新文献
Trust and Lending: An Experimental Study Non-Cognitive Skills at the Time of COVID-19: An Experiment with Professional Traders and Students Managing Climate Change Risks: Sea-Level Rise and Mergers and Acquisitions The Impact of Role Models on Women’s Self-Selection into Competitive Environments Futures Replication and the Law of One Futures Price
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1