Collateral Constraints and the Law of One Price: An Experiment

• 成果类型: Article
• 署名作者: Cipriani, Marco; Fostel, Ana; Houser, Daniel
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of Virginia; National Bureau of Economic Research; George Mason University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12722
• 发表日期: 2018
• 页码: 2757-2786
• 关键词: financial-markets; leverage; liquidity; INFORMATION

摘要

We test the asset pricing implications of collateralized borrowing (that is, of using assets as collateral to borrow money) in the laboratory. To this purpose, we develop a general equilibrium model with collateral constraints amenable to laboratory implementation and gather experimental data. In the laboratory, assets that can be leveraged fetch higher prices than assets that cannot, even though assets' payoffs are identical in all states of the world. Collateral value, therefore, creates deviations from the Law of One Price. The spread between collateralizeable and noncollateralizeable assets is significant and quantitatively close to theoretical predictions.