Speculation and Risk Sharing with New Financial Assets

• 成果类型: Article
• 署名作者: Simsek, Alp
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjt007
• 发表日期: 2013
• 页码: 1365-1396
• 关键词: innovation; MARKETS; INFORMATION; optimality; liquidity; investors; TRADE

摘要

I investigate the effect of financial innovation on portfolio risks when traders have belief disagreements. I decompose traders' average portfolio risks into two components: the uninsurable variance, defined as portfolio risks that would obtain without belief disagreements, and the speculative variance, defined as portfolio risks that result from speculation. My main result shows that financial innovation always increases the speculative variance through two distinct channels: by generating new bets and by amplifying traders' existing bets. When disagreements are large, these effects are sufficiently strong that financial innovation increases average portfolio risks, decreases average portfolio comovements, and generates greater speculative trading volume relative to risk-sharing volume. Moreover, a profit-seeking market maker endogenously introduces speculative assets that increase average portfolio risks. JEL Codes: G11, G12, D53.