Opacity in financial markets

研究成果: Review article査読

12 被引用数 (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.

本文言語English
ページ(範囲)3502-3546
ページ数45
ジャーナルReview of Financial Studies
27
12
DOI
出版ステータスPublished - 2014 12 1
外部発表はい

ASJC Scopus subject areas

  • 会計
  • 財務
  • 経済学、計量経済学

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