Strategic Financial Innovation in Segmented Markets
研究投资者参与受限的均衡模型，战略套利者利用不同市场分割间的错误定价获利，内生决定资产结构，发现均衡资产结构通常既不完整也非社会最优，低效程度取决于投资者异质性。
We study an equilibrium model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market segments. We endogenize the asset structure as the outcome of a security design game played by the arbitrageurs. The equilibrium asset structure depends realistically upon considerations such as depth and gains from trade. It is neither complete nor socially optimal in general; the degree of inefficiency depends upon the heterogeneity of investors. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.