The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibrium
证明引入衍生资产会增加投资者收集资产收益信息的激励，使基础资产价格更具信息含量并推高预期价格；在多资产动态模型中，引入一种资产的衍生品会提高正相关资产的预期价格，并减弱价格对未来盈利公告的反应。
This article shows that introducing derivative assets increases incentives to collect information about asset payoffs. The increase in information collection makes the price of the underlying asset more informative and causes the expected price to increase. Extending the model to a dynamic setting with multiple risky assets, we find the introducing derivative assets for one asset increases the expected prices of positively correlated assets and reduces price reaction to future earnings announcements. These findings are consistent with the bulk of the empirical evidence on the relationship between the introduction of derivative assets and the behavior of asset prices.