Collateral Constraints and the Law of One Price: An Experiment
通过实验室实验检验抵押借款对资产定价的影响，发现可抵押资产价格高于不可抵押资产，即使两者收益相同，从而产生对一价定律的偏离。
ABSTRACT We test the asset pricing implications of collateralized borrowing (that is, of using assets as collateral to borrow money) in the laboratory. To this purpose, we develop a general equilibrium model with collateral constraints amenable to laboratory implementation and gather experimental data. In the laboratory, assets that can be leveraged fetch higher prices than assets that cannot, even though assets' payoffs are identical in all states of the world. Collateral value, therefore, creates deviations from the Law of One Price. The spread between collateralizeable and noncollateralizeable assets is significant and quantitatively close to theoretical predictions.