Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

• 成果类型: Article
• 署名作者: Biais, Bruno; Hombert, Johan; Weill, Pierre-Olivier
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Hautes Etudes Commerciales (HEC) Paris; University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20181707
• 发表日期: 2021
• 页码: 3575-3610
• 关键词: equilibrium; MARKETS; liquidity; prices

摘要

Incentive problems make securities' payoffs imperfectly pledge able , limiting agents' ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete , agents have different intertemporal marginal rates of substitution , so that they value assets differently. Consequently , agents hold different portfolios. This leads to endogenous markets segmentation , which we characterize with optimal transport methods. Moreover , there is a basis going always in the same direction: the price of a security is lower than that of replicating portfolios of long positions. Finally , equilibrium expected returns are concave in factor loadings. (JEL D51, D52, G11, G12)