search query: @author Gromb, D. / total: 5
reference: 1 / 5
« previous | next »
| Author: | Gromb, D. Vayanos, D. |
| Title: | Equilibrium and welfare in markets with financially constrained arbitrageurs |
| Journal: | Journal of Financial Economics
2002 : DEC, VOL. 66:2-3, p. 361-407 |
| Index terms: | Financial markets Equilibrium theory Exchange equilibrium |
| Language: | eng |
| Abstract: | The authors propose a multiperiod model in which competitive arbitrageurs exploit discrepancies between the prices of two identical risky assets traded in segmented markets. Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting positions as a function of wealth. In the model, arbitrage activity benefits all investors because arbitrageurs supply liquidity to the market. However, arbitrageurs might fail to take a socially optimal level of risk, in the sense that a change in their positions can make all investors better off. |
« previous | next »
SCIMA