Asset prices when large investors interact strategically
研究了同时有散户和机构投资者的经济中，机构因意识到彼此的价格影响而策略互动，导致需求下降、向散户放贷增加杠杆，并影响无风险利率和股权溢价。
This paper examines equilibrium asset prices and leverage in an exchange economy populated with both retail and institutional investors. Institutional investors influence the price of the stocks they trade and are aware of the price impact of the opponent and, thus, interact strategically. Because of the price impact, institutional investors decrease their demand for stocks and lend money to the retail sector, thereby increasing leverage in the economy. The risk-free rate (equity premium) tends to be lower (higher) as compared to an economy populated by retail investors only. Retail investors' compensation for liquidity provision depends on the behavior of institutional investors and the state of the economy.