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Financial innovation, market participation and asset prices

Author: Laurent E Calvet; Martín Gonzalez-Eiras; Paolo Sodini; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2003.
Series: Working paper series (National Bureau of Economic Research), no. 9840.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risks. The introduction of non-redundant assets endogenously modifies the participation set, reduces the covariance between dividends and participants' consumption and thus leads to lower risk premia. In multisector economies, financial innovation spreads across markets  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Laurent E Calvet; Martín Gonzalez-Eiras; Paolo Sodini; National Bureau of Economic Research.
OCLC Number: 53256403
Notes: "July 2003."
Description: 1 online resource (33, [8] pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 9840.
Responsibility: Laurent Calvet, Martín Gonzalez-Eiras, Paolo Sodini.

Abstract:

Abstract: This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risks. The introduction of non-redundant assets endogenously modifies the participation set, reduces the covariance between dividends and participants' consumption and thus leads to lower risk premia. In multisector economies, financial innovation spreads across markets through the diversified portfolio of new entrants, and has rich effects on the cross-section of expected returns. The price changes can also lead some investors to leave the markets and give rise to non-degenerate forms of participation turnover. The model is consistent with several features of financial markets over the past few decades: substantial innovation; higher participation; significant turnover in investor composition; improved risk management practices; a slight increase in interest rates; and a reduction in risk premia.

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