Rahi, Rohit 
ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2007)
Strategic financial innovation in segmented markets.
Financial Markets Group Discussion Papers (595).
Financial Markets Group, The London School of Economics and Political Science, London, UK.
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Abstract
We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different 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 inefficiency depends upon the heterogeneity of investors.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | https://www.fmg.ac.uk/ |
| Additional Information: | © 2007 The Authors |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| JEL classification: | 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 |
| Date Deposited: | 16 Jul 2009 14:08 |
| Last Modified: | 11 Dec 2024 18:49 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24503 |
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