Financial Innovation, Market Participation, and Asset Prices

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Standard

Financial Innovation, Market Participation, and Asset Prices. / Gonzalez-Eiras, Martin; Calvet, Laurent; Sodini, Paolo.

I: Journal of Financial and Quantitative Analysis, Bind 39, Nr. 3, 09.2004, s. 431-459.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

Harvard

Gonzalez-Eiras, M, Calvet, L & Sodini, P 2004, 'Financial Innovation, Market Participation, and Asset Prices', Journal of Financial and Quantitative Analysis, bind 39, nr. 3, s. 431-459.

APA

Gonzalez-Eiras, M., Calvet, L., & Sodini, P. (2004). Financial Innovation, Market Participation, and Asset Prices. Journal of Financial and Quantitative Analysis, 39(3), 431-459.

Vancouver

Gonzalez-Eiras M, Calvet L, Sodini P. Financial Innovation, Market Participation, and Asset Prices. Journal of Financial and Quantitative Analysis. 2004 sep;39(3):431-459.

Author

Gonzalez-Eiras, Martin ; Calvet, Laurent ; Sodini, Paolo. / Financial Innovation, Market Participation, and Asset Prices. I: Journal of Financial and Quantitative Analysis. 2004 ; Bind 39, Nr. 3. s. 431-459.

Bibtex

@article{04b68dbb45c24960bf3c3c0480c371de,
title = "Financial Innovation, Market Participation, and Asset Prices",
abstract = "This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risk. 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 accross 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.",
author = "Martin Gonzalez-Eiras and Laurent Calvet and Paolo Sodini",
year = "2004",
month = "9",
language = "English",
volume = "39",
pages = "431--459",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Financial Innovation, Market Participation, and Asset Prices

AU - Gonzalez-Eiras, Martin

AU - Calvet, Laurent

AU - Sodini, Paolo

PY - 2004/9

Y1 - 2004/9

N2 - This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risk. 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 accross 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.

AB - This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risk. 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 accross 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.

M3 - Journal article

VL - 39

SP - 431

EP - 459

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

IS - 3

ER -

ID: 46840701