Capital Mobility and Asset Pricing

• 成果类型: Article
• 署名作者: Duffie, Darrell; Strulovici, Bruno
• 署名单位: Stanford University; Northwestern University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA8822
• 发表日期: 2012
• 页码: 2469-2509
• 关键词: the-counter markets; demand curves; liquidity; stocks; fluctuations; equilibrium; INFORMATION; allocation; insurance; pressure

摘要

We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investors for moving their capital to the market with the higher mean return. The bargaining power of an investor depends on potential access to alternative intermediaries. In equilibrium, the speeds of adjustment of mean returns and of capital between the two markets are increasing in the degree to which capital is imbalanced between the two markets, and can be reduced by competition among intermediaries.