Rahi, Rohit 
ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2009)
Strategic financial innovation in segmented markets.
Review of Financial Studies, 22 (8).
pp. 2941-2971.
ISSN 0893-9454
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 |
| Divisions: | Financial Markets Group Economics |
| Subjects: | H Social Sciences > HG Finance |
| 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: | 08 May 2008 14:15 |
| Last Modified: | 03 Apr 2024 07:03 |
| URI: | http://eprints.lse.ac.uk/id/eprint/4745 |
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