Speculative securities

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Economic Theory, 14, pp. 653-668, 1999
http://hdl.handle.net/10230/1049
To cite or link this document: http://hdl.handle.net/10230/1049
dc.contributor.author Marín, José M.
dc.contributor.author Rahi, Rohit
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 1997-04-01
dc.identifier.citation Economic Theory, 14, pp. 653-668, 1999
dc.identifier.uri http://hdl.handle.net/10230/1049
dc.description.abstract A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders have superior information. In this paper we show that agents may find it desirable to trade such a security in spite of the fact that it is a poorer hedge against their endowment risks as the time of trade, and has an associated adverse selection cost. In the specific institutional setting of innovation of futures contracts, we show that a futures exchange may not have an incentive to introduce a speculative security even when all traders favor it.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 223
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Speculative securities
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2014-06-03T07:13:54Z
dc.subject.keyword Finance and Accounting
dc.subject.keyword information revelation
dc.subject.keyword sunspots
dc.subject.keyword security design
dc.subject.keyword futures contract
dc.subject.keyword trading volume
dc.rights.accessRights info:eu-repo/semantics/openAccess


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