Financial Product Design in Decentralized Markets

• 成果类型: Article
• 署名作者: Rostek, Marzena; Yoon, Ji Hee
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; University of London; University College London
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/733422
• 发表日期: 2025
• 页码: 888-934
• 关键词: Security design; INNOVATION; equilibrium; derivatives; COMPETITION; volatility

摘要

Decentralized trading motivates financial innovation, making synthetic products like derivatives nonredundant, even when all traders trade all assets. This nonredundancy arises because derivatives affect cross-security inference (information) and, in markets with large traders, equilibrium price impact (liquidity). The efficient securities differ from the underlying assets. While the market index/mutual funds are efficient in decentralized markets with competitive investors, heterogeneous portfolios that balance index tracking with liquidity transformation become efficient in markets with large traders. Efficient securities facilitate the trading of all fundamental risks but generally forgo hedging all contingencies to minimize the price impact costs associated with risk sharing and diversification.