Equilibrium and welfare in markets with financially constrained arbitrageurs
成果类型：
Article
署名作者：
Gromb, D; Vayanos, D
署名单位：
University of London; London Business School; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/S0304-405X(02)00228-3
发表日期：
2002
页码：
361-407
关键词：
摘要：
We propose a multiperiod model in which competitive arbitrageurs exploit discrepancies between the prices of two identical risky assets traded in segmented markets. Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting positions as a function of wealth. In our model, arbitrage activity benefits all investors because arbitrageurs supply liquidity to the market. However, arbitrageurs might fail to take a socially optimal level of risk, in the sense that a change in their positions can make all investors better off. We characterize conditions under which arbitrageurs take too much or too little risk. (C) 2002 Elsevier Science B.V. All rights reserved.