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Opacity in Financial Markets

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 can 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..Printed Journal

Ketersediaan

Call NumberLocationAvailable
RFS2712PSB lt.dasar - Pascasarjana1
Penerbit Oxford Oxford University Press.,
Edisi -
Subjek Asset prices
Moral hazard
Opacity
portfolio delegation
signal jamming
career concerns
fund size
market segmentation.
ISBN/ISSN 8939454
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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