Speculation and Risk Sharing with New Financial Assets*
研究了交易者信念分歧时金融创新对投资组合风险的影响，发现金融创新通过产生新赌注和放大现有赌注增加投机性方差，可能提高平均投资组合风险并降低组合联动性。
Abstract I investigate the effect of financial innovation on portfolio risks when traders have belief disagreements. I decompose traders’ average portfolio risks into two components: the uninsurable variance, defined as portfolio risks that would obtain without belief disagreements, and the speculative variance, defined as portfolio risks that result from speculation. My main result shows that financial innovation always increases the speculative variance through two distinct channels: by generating new bets and by amplifying traders’ existing bets. When disagreements are large, these effects are sufficiently strong that financial innovation increases average portfolio risks, decreases average portfolio comovements, and generates greater speculative trading volume relative to risk-sharing volume. Moreover, a profit-seeking market maker endogenously introduces speculative assets that increase average portfolio risks.