Asset Price Dynamics in Partially Segmented Markets

• 成果类型: Article
• 署名作者: Greenwood, Robin; Hanson, Samuel G.; Liao, Gordon Y.
• 署名单位: Harvard University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy048
• 发表日期: 2018
• 页码: 3307
• 关键词: PORTFOLIO DECISIONS; equilibrium; volatility; LIMITS; MODEL; RISK

摘要

We develop a model in which capital moves quickly within an asset class but slowly between asset classes. While most investors specialize in a single asset class, a handful of generalists gradually reallocate capital across markets. Upon the arrival of a large supply shock, prices of risk in the directly affected asset class become disconnected from those in others. Over the long run, capital flows cause prices of risk to become more closely aligned. While prices in the directly affected market initially overreact, prices in related markets may underreact. We use the model to reassess event-study evidence on quantitative easing.