Imperfect Financial Markets and Investment Inefficiencies

• 成果类型: Article
• 署名作者: Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh
• 署名单位: Central Bank of Chile; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Center for Economic & Policy Research (CEPR); Yale University; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20170725
• 发表日期: 2023
• 页码: 2323-2354
• 关键词: stock-market; corporate-investment; INFORMATION; price; aggregation; sensitivity; liquidity; efficient; industry; real

摘要

We analyze the consequences of noisy information aggregation for investment. Market imperfections create endogenous rents that cause overinvestment in upside risks and underinvestment in downside risks. In partial equilibrium, these inefficiencies are particularly severe if upside risks are coupled with easy scalability of investment. In general equilibrium, the shareholders' collective attempts to boost value of individual firms leads to a novel externality operating through price that amplifies investment distortions with downside risks but offsets distortions with upside risks. (JEL D21, D25, D83, G14, G32, G41)