Image of Opacity in Financial Markets

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.

Ketersediaan
Call NumberLocationAvailable
RFS2712PSB lt.dasar - Pascasarjana1
Informasi Detail
Judul Seri
The Review of Financial Studies
No. Panggil
RFS2712
Penerbit
Oxford : Oxford University Press.,
Deskripsi Fisik
p. 3502
Bahasa
English
ISBN/ISSN
1465-7368
Klasifikasi
NONE
Tipe Isi
text
Tipe Media
-
Tipe Pembawa
-
Edisi
Vol. 27, Number 12, Dec. 2014
Subjek
Asset prices
Moral hazard
Opacity
portfolio delegation
signal jamming
career concerns
fund size
market segmentation.
Info Detail Spesifik
The Review of Financial Studies
Pernyataan Tanggungjawab
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Tidak tersedia versi lain

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