Cookies?
Library Header Image
LSE Research Online LSE Library Services

Strategic financial innovation in segmented markets

Rahi, Rohit and Zigrand, Jean-Pierre (2009) Strategic financial innovation in segmented markets. Review of Financial Studies, 22 (8). pp. 2941-2971. ISSN 0893-9454

Full text not available from this repository.

Abstract

We study an equilibrium model with restricted investor participation in which strategic arbitrageurs reap prots by exploiting mispricings across dierent market segments. We endogenize the asset structure as the outcome of a security design game played by the arbitrageurs. The equilibrium asset structure depends realistically upon considerations such as depth and gains from trade. It is neither complete nor socially optimal in general; the degree of ineciency depends upon the heterogeneity of investors.

Item Type: Article
Official URL: http://rfs.oxfordjournals.org
Additional Information: © 2008 The Author
Library of Congress subject classification: H Social Sciences > HG Finance
Journal of Economic Literature Classification System: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D52 - Incomplete Markets
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 08 May 2008 14:15
URL: http://eprints.lse.ac.uk/4745/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only