Complex Asset Markets
Andrea L. Eisfeldt, Hanno Lustig, Lei Zhang
We develop a dynamic equilibrium model of complex asset markets with endogenous entry and exit in which the investment technology of investors with more expertise is subject to less asset-specific risk. The joint equilibrium distribution of financial expertise and wealth then determines risk bearing capacity. Higher expert demand lowers equilibrium required returns, reducing overall participation. In equilibrium, investor participation in more complex asset markets with more asset-specific risk is lower, despite higher market- level Sharpe ratios, provided that asset complexity and expertise are complementary. We analyze how asset complexity affects the stationary wealth distribution of complex asset investors. Because of selection, increased asset complexity reduces wealth concentration, even though the wealth distribution for more expert investors has fatter tails
Year of publication: |
June 2017
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Authors: | Eisfeldt, Andrea L. |
Other Persons: | Lustig, Hanno (contributor) ; Zhang, Lei (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
Cambridge, Mass : National Bureau of Economic Research |
Subject: | Anlageverhalten | Behavioural finance | Finanzprodukt | Financial product | Kapitalmarkttheorie | Financial economics | Finanzmarkt | Financial market | Finanzanalyse | Financial analysis | Vermögensverteilung | Wealth distribution | Dynamisches Gleichgewicht | Dynamic equilibrium |
Saved in:
freely available
Extent: | 1 Online-Ressource |
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Series: | NBER working paper series ; no. w23476 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers. |
Other identifiers: | 10.3386/w23476 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012455205