Opacity in financial markets

Détails

Ressource 1Télécharger: Sato_Opacity in Financial Markets.pdf (532.13 [Ko])
Etat: Public
Version: Author's accepted manuscript
Licence: Non spécifiée
ID Serval
serval:BIB_AB4E7597A3CC
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Opacity in financial markets
Périodique
Review of Financial Studies
Auteur(s)
Sato  Y.
ISSN
0893-9454
Statut éditorial
Publié
Date de publication
12/2014
Peer-reviewed
Oui
Volume
27
Numéro
12
Pages
3502-3546
Langue
anglais
Résumé
This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g., mutual funds) and opaque funds (e.g., hedge funds) trade transparent assets (e.g., plain-vanilla products) and opaque assets (e.g., structured products). Investors observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with empirical observations, an "opacity price premium" arises: opaque assets trade at a premium over transparent ones despite identical payoffs. This accompanies endogenous market segmentation: transparent (opaque) funds trade only transparent (opaque) assets. The opacity price premium incentivizes financial engineers to render transparent assets opaque deliberately.
Mots-clé
Management industry, career concerns, fund industry, performance, information, model, size
Web of science
Création de la notice
03/12/2014 12:09
Dernière modification de la notice
20/08/2019 16:15
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