The Existence of Pareto Superior Price Limits
研究期货价格限制在一种简单市场不完整形式下的福利效应，发现当价格波动由基本面消息驱动时，精心选择的价格限制在事前可能优于无限制交易；当流动性冲击较大时，价格限制有利于套期保值者但损害部分投机者。
This paper examines the welfare effects of futures price limits under a simple form of market incompleteness. When prices become volatile, shocks to liquidity and fundamentals may occur between the time investors decide to trade and the time their orders are executed. This gives rise to implementation risk that cannot be transferred with contingent claims. The authors show that price limits partially insure implementation risk. When price fluctuations are driven by news about fundamentals, judiciously chosen price limits can be (ex ante) Pareto superior to unconstrained trade. When liquidity shocks are large, price limits benefit hedgers but harm some speculators. Copyright 1994 by American Economic Association.