Impediments to Financial Trade: Theory and Applications

• 成果类型: Article
• 署名作者: Garleanu, Nicolae; Panageas, Stavros; Yu, Jianfeng
• 署名单位: National Bureau of Economic Research; University of California System; University of California Los Angeles; Tsinghua University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz095
• 发表日期: 2020
• 页码: 2697
• 关键词: rational-expectations equilibrium; PERFORMANCE-MEASUREMENT; Portfolio performance; INFORMATION; MARKET; lemons; BIAS

摘要

We propose a tractable model of an informationally inefficient market featuring nonrevealing prices, general preferences and payoff distributions, but not noise traders. We show the equivalence between our model and a substantially simpler one in which investors face distortionary investment taxes depending on both their identity and the asset class. This equivalence allows us to account for such phenomena as underdiversification. We further employ the model to assess approaches to performance evaluation and find that it provides a theoretical basis for some intuitive practices, such as style analysis, that have been adopted by finance professionals.