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Strategic Financial Innovation in Segmented Markets

Rohit Rahi

出版	SSRN, 2014
URL	http://books.google.com.hk/books?id=RrrFzgEACAAJ&hl=&source=gbs_api

註釋

We study an equilibrium 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.