Opacity in Financial Markets

• 成果类型: Article
• 署名作者: Sato, Yuki
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu047
• 发表日期: 2014
• 页码: 3502
• 关键词: MANAGEMENT INDUSTRY; career concerns; FUND INDUSTRY; performance; INFORMATION; MODEL; size

摘要

This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g., mutual funds) and opaque funds (e.g., hedge funds) trade transparent assets (e.g., plain-vanilla products) and opaque assets (e.g., structured products). Investors observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with empirical observations, an opacity price premium arises: opaque assets trade at a premium over transparent ones despite identical payoffs. This accompanies endogenous market segmentation: transparent (opaque) funds trade only transparent (opaque) assets. The opacity price premium incentivizes financial engineers to render transparent assets opaque deliberately.