Opacity in financial markets

研究成果: Review article

10 引用 (Scopus)

抄録

This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g., mutual funds) and opaque funds (e.g., hedge funds) trade transparent assets (e.g., plain-vanilla products) and opaque assets (e.g., structured products). Investors observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with empirical observations, an "opacity price premium" arises: opaque assets trade at a premium over transparent ones despite identical payoffs. This accompanies endogenous market segmentation: transparent (opaque) funds trade only transparent (opaque) assets. The opacity price premium incentivizes financial engineers to render transparent assets opaque deliberately.

元の言語English
ページ(範囲)3502-3546
ページ数45
ジャーナルReview of Financial Studies
27
発行部数12
DOI
出版物ステータスPublished - 2014 12 1
外部発表Yes

Fingerprint

Financial markets
Assets
Opacity
Price premium
Asset prices
Investors
Mutual funds
Investor behavior
Premium
Engineers
Hedge funds
Market segmentation
Structured products

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

これを引用

Opacity in financial markets. / Sato, Yuki.

:: Review of Financial Studies, 巻 27, 番号 12, 01.12.2014, p. 3502-3546.

研究成果: Review article

Sato, Yuki. / Opacity in financial markets. :: Review of Financial Studies. 2014 ; 巻 27, 番号 12. pp. 3502-3546.
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