메뉴 건너뛰기




Volumn 39, Issue 3, 2004, Pages 431-459

Financial innovation, market participation, and asset prices

Author keywords

[No Author keywords available]

Indexed keywords


EID: 4644224846     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000003975     Document Type: Article
Times cited : (49)

References (61)
  • 1
    • 0039782101 scopus 로고    scopus 로고
    • The effects of investing social security funds in the stock market when fixed costs prevent some households from holding stocks
    • Abel, A. "The Effects of Investing Social Security Funds in the Stock Market when Fixed Costs Prevent Some Households from Holding Stocks." American Economic Review, 91 (2001), 128-148.
    • (2001) American Economic Review , vol.91 , pp. 128-148
    • Abel, A.1
  • 2
    • 0011588255 scopus 로고
    • Incomplete markets and incentives to set up an options exchange
    • Allen, F., and D. Gale. "Incomplete Markets and Incentives to Set Up an Options Exchange." Geneva Papers on Risk and Insurance Theory, 15 (1990), 17-46.
    • (1990) Geneva Papers on Risk and Insurance Theory , vol.15 , pp. 17-46
    • Allen, F.1    Gale, D.2
  • 4
    • 0000552715 scopus 로고
    • Limited market participation and volatility of asset prices
    • -. "Limited Market Participation and Volatility of Asset Prices." American Economic Review, 84 (1994b), 933-955.
    • (1994) American Economic Review , vol.84 , pp. 933-955
  • 5
    • 23944485291 scopus 로고    scopus 로고
    • Incomplete markets, growth and the business cycle
    • Harvard Univ.
    • Angeletos, G. M., and L. E. Calvet. "Incomplete Markets, Growth and the Business Cycle." HIER Working Paper #1910, Harvard Univ. (2000).
    • (2000) HIER Working Paper #1910
    • Angeletos, G.M.1    Calvet, L.E.2
  • 6
    • 0002941670 scopus 로고
    • World interest rates
    • O. J. Blanchard and S. Fischer, eds.
    • Barro, R., and X. Sala-i-Martin. "World Interest Rates." In NBER Macroeconomics Annual, O. J. Blanchard and S. Fischer, eds. 5 (1990), 15-61.
    • (1990) NBER Macroeconomics Annual , vol.5 , pp. 15-61
    • Barro, R.1    Sala-I-Martin, X.2
  • 7
    • 0032370891 scopus 로고    scopus 로고
    • An equilibrium model with restricted stock market participation
    • Basak, S., and D. Cuoco. "An Equilibrium Model with Restricted Stock Market Participation." Review of Financial Studies, 11 (1998), 309-341.
    • (1998) Review of Financial Studies , vol.11 , pp. 309-341
    • Basak, S.1    Cuoco, D.2
  • 8
    • 0029545258 scopus 로고
    • Why do so few hold stocks?
    • Bertaut, C., and M. Haliassos. "Why Do So Few Hold Stocks?" Economic Journal, 105 (1995), 1110-1129.
    • (1995) Economic Journal , vol.105 , pp. 1110-1129
    • Bertaut, C.1    Haliassos, M.2
  • 9
    • 0000779103 scopus 로고
    • The permanent income hypothesis: A theoretical formulation
    • Bewley, T. "The Permanent Income Hypothesis: A Theoretical Formulation." Journal of Economic Theory, 16 (1977), 252-292.
    • (1977) Journal of Economic Theory , vol.16 , pp. 252-292
    • Bewley, T.1
  • 11
    • 0002496084 scopus 로고
    • Stock ownership in the United States: Characteristics and trends
    • Blume, M.; J. Crockett; and I. Friend. "Stock Ownership in the United States: Characteristics and Trends." Survey of Current Business, 54 (1974), 16-40.
    • (1974) Survey of Current Business , vol.54 , pp. 16-40
    • Blume, M.1    Crockett, J.2    Friend, I.3
  • 14
    • 0011832495 scopus 로고    scopus 로고
    • Incomplete markets and volatility
    • Calvet, L. "Incomplete Markets and Volatility." Journal of Economic Theory, 98 (2001), 295-338.
    • (2001) Journal of Economic Theory , vol.98 , pp. 295-338
    • Calvet, L.1
  • 15
    • 0011829727 scopus 로고    scopus 로고
    • Investing retirement wealth: A life-cycle model
    • J. Campbell and M. Feldstein, eds. Univ. of Chicago Press, Chapter 11. (Also reproduced in Campbell and Viceira
    • Campbell, J. Y.; J. Cocco; F. Gomes; and P. Maenhout. "Investing Retirement Wealth: A Life-Cycle Model." In Risk Aspects of Investment-Based Social Security Reform, J. Campbell and M. Feldstein, eds. Univ. of Chicago Press (2001), Chapter 11. (Also reproduced in Campbell and Viceira (2002)).
    • (2001) Risk Aspects of Investment-Based Social Security Reform
    • Campbell, J.Y.1    Cocco, J.2    Gomes, F.3    Maenhout, P.4
  • 16
    • 0002519023 scopus 로고    scopus 로고
    • Have individual stocks become more volatile? an empirical exploration of idiosyncratic risk
    • Campbell, J. Y.; M. Lettau; B. Malkiel; and Y. Xu. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk." Journal of Finance, 56 (2001), 1-43.
    • (2001) Journal of Finance , vol.56 , pp. 1-43
    • Campbell, J.Y.1    Lettau, M.2    Malkiel, B.3    Xu, Y.4
  • 17
    • 84924933542 scopus 로고    scopus 로고
    • Valuation ratios and the long-run stock market: An update
    • N. Barberis and R. Thaler, eds. Russell Sage Foundation
    • Campbell, J. Y., and R. J. Shiller. "Valuation Ratios and the Long-Run Stock Market: An Update." In Advances in Behavioral Finance, Volume II, N. Barberis and R. Thaler, eds. Russell Sage Foundation (2003).
    • (2003) Advances in Behavioral Finance , vol.2
    • Campbell, J.Y.1    Shiller, R.J.2
  • 19
    • 0032219876 scopus 로고    scopus 로고
    • Pareto improving financial innovation in incomplete markets
    • Cass, D., and A. Citanna. "Pareto Improving Financial Innovation in Incomplete Markets." Economic Theory, 11 (1998), 467-494.
    • (1998) Economic Theory , vol.11 , pp. 467-494
    • Cass, D.1    Citanna, A.2
  • 20
    • 0002894909 scopus 로고    scopus 로고
    • Where is the market going? Uncertain facts and novel theories
    • (Nov./Dec.): Federal Bank of Chicago
    • Cochrane, J. "Where is the Market Going? Uncertain Facts and Novel Theories." Economic Perspectives XXI (Nov./Dec.): Federal Bank of Chicago (1997). (Also NBER Working Paper No. 6207.)
    • (1997) Economic Perspectives XXI
    • Cochrane, J.1
  • 21
    • 4644328673 scopus 로고    scopus 로고
    • Cochrane, J. "Where is the Market Going? Uncertain Facts and Novel Theories." Economic Perspectives XXI (Nov./Dec.): Federal Bank of Chicago (1997). (Also NBER Working Paper No. 6207.)
    • NBER Working Paper No. 6207
  • 22
    • 84977720952 scopus 로고
    • The price effect of option introduction
    • Conrad, J. "The Price Effect of Option Introduction." Journal of Finance, 44 (1989), 487-498.
    • (1989) Journal of Finance , vol.44 , pp. 487-498
    • Conrad, J.1
  • 25
    • 0001125608 scopus 로고
    • A general equilibrium analysis of option and stock market interactions
    • Detemple, J., and L. Selden. "A General Equilibrium Analysis of Option and Stock Market Interactions." International Economic Review, 32 (1991), 279-303.
    • (1991) International Economic Review , vol.32 , pp. 279-303
    • Detemple, J.1    Selden, L.2
  • 26
    • 8744296703 scopus 로고
    • Optimal innovation of futures contracts
    • Duffie, D., and M. Jackson. "Optimal Innovation of Futures Contracts." Review of Financial Studies, 2 (1989), 275-296.
    • (1989) Review of Financial Studies , vol.2 , pp. 275-296
    • Duffie, D.1    Jackson, M.2
  • 27
    • 0344424400 scopus 로고
    • Financial market innovation and security design: An introduction
    • Duffie, D., and R. Rahi. "Financial Market Innovation and Security Design: An Introduction." Journal of Economic Theory, 65 (1995), 1-42.
    • (1995) Journal of Economic Theory , vol.65 , pp. 1-42
    • Duffie, D.1    Rahi, R.2
  • 28
    • 0031068642 scopus 로고    scopus 로고
    • Financial innovation, precautionary saving and the risk-free rate
    • Elul, R. "Financial Innovation, Precautionary Saving and the Risk-Free Rate." Journal of Mathematical Economics, 27 (1997), 113-131.
    • (1997) Journal of Mathematical Economics , vol.27 , pp. 113-131
    • Elul, R.1
  • 29
    • 0013456515 scopus 로고    scopus 로고
    • The equity premium
    • Fama, E., and K. French. "The Equity Premium." Journal of Finance, 57 (2002), 637-659.
    • (2002) Journal of Finance , vol.57 , pp. 637-659
    • Fama, E.1    French, K.2
  • 31
    • 0040797159 scopus 로고
    • An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies
    • S. Grossman, ed. Wicksell Lectures, MIT Press
    • Grossman, S. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies." In The Informational Role of Prices, S. Grossman, ed. Wicksell Lectures, MIT Press (1989).
    • (1989) The Informational Role of Prices
    • Grossman, S.1
  • 33
    • 0005495431 scopus 로고    scopus 로고
    • Portfolio choices and asset prices: The importance of entrepreneurial Risk
    • -. "Portfolio Choices and Asset Prices: The Importance of Entrepreneurial Risk." Journal of Finance, 55 (2000), 1163-1198.
    • (2000) Journal of Finance , vol.55 , pp. 1163-1198
  • 34
    • 4644359358 scopus 로고
    • Structure of general equilibrium models with incomplete markets and a single consumption good
    • Bonn Univ.
    • Hens, T. "Structure of General Equilibrium Models with Incomplete Markets and a Single Consumption Good." Discussion Paper No. A-353, Bonn Univ. (1991).
    • (1991) Discussion Paper No. A-353
    • Hens, T.1
  • 35
    • 0000056303 scopus 로고
    • Residual risk, trading costs, and commodity futures risk premia
    • Hirshleifer, D. "Residual Risk, Trading Costs, and Commodity Futures Risk Premia." Review of Financial Studies, 1 (1988), 173-193.
    • (1988) Review of Financial Studies , vol.1 , pp. 173-193
    • Hirshleifer, D.1
  • 36
    • 0005646080 scopus 로고    scopus 로고
    • How interest rates changed under financial liberalization: A cross-country review
    • Honohan, P. "How Interest Rates Changed under Financial Liberalization: A Cross-Country Review." World Bank Working Paper No. 2313 (2000).
    • (2000) World Bank Working Paper No. 2313
    • Honohan, P.1
  • 37
    • 0031331033 scopus 로고    scopus 로고
    • Market structure, security prices and informational efficiency
    • Huang, J., and J. Wang. "Market Structure, Security Prices and Informational Efficiency." Macroeconomic Dynamics, 1 (1997), 169-205.
    • (1997) Macroeconomic Dynamics , vol.1 , pp. 169-205
    • Huang, J.1    Wang, J.2
  • 39
    • 0039090311 scopus 로고    scopus 로고
    • Does the introduction of futures on emerging market currencies destabilize the underlying currencies?
    • Jochum, C., and L. Kodres. "Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies?" IMF Working Paper (1998).
    • (1998) IMF Working Paper
    • Jochum, C.1    Kodres, L.2
  • 40
    • 0001599795 scopus 로고
    • Risk aversion with random initial wealth
    • Kihlstrom, R.; D. Romer; and S. Williams. "Risk Aversion with Random Initial Wealth." Econometrica, 49 (1981), 911-920.
    • (1981) Econometrica , vol.49 , pp. 911-920
    • Kihlstrom, R.1    Romer, D.2    Williams, S.3
  • 41
    • 0345955613 scopus 로고
    • Wealth and portfolio composition: Theory and evidence
    • Cambridge, MA
    • King, M., and J. Leape. "Wealth and Portfolio Composition: Theory and Evidence." NBER Working Paper 1468, Cambridge, MA (1984).
    • (1984) NBER Working Paper 1468
    • King, M.1    Leape, J.2
  • 42
    • 0036377699 scopus 로고    scopus 로고
    • Does market incompleteness matter?
    • Levine, D., and W. Zame. "Does Market Incompleteness Matter?" Econometrica, 70 (2002), 1805-1840.
    • (2002) Econometrica , vol.70 , pp. 1805-1840
    • Levine, D.1    Zame, W.2
  • 44
    • 0002874783 scopus 로고
    • The consumption of stockholders and non-stockholders
    • Mankiw, N. G., and S. Zeldes. "The Consumption of Stockholders and Non-Stockholders." Journal of Financial Economics, 29 (1991), 97-112.
    • (1991) Journal of Financial Economics , vol.29 , pp. 97-112
    • Mankiw, N.G.1    Zeldes, S.2
  • 46
    • 0040866984 scopus 로고
    • Preservation of 'more risk averse' under expectations
    • Nachman, D. "Preservation of 'More Risk Averse' under Expectations." Journal of Economic Theory, 28 (1982), 361-368.
    • (1982) Journal of Economic Theory , vol.28 , pp. 361-368
    • Nachman, D.1
  • 47
    • 0039808991 scopus 로고    scopus 로고
    • Some results in the CAPM with nontraded endowments
    • Oh, G. "Some Results in the CAPM with Nontraded Endowments." Management Science, 42 (1996), 286-293.
    • (1996) Management Science , vol.42 , pp. 286-293
    • Oh, G.1
  • 48
    • 0032339626 scopus 로고    scopus 로고
    • Participation costs, trend chasing, and volatility of stock prices
    • Orosel, G. "Participation Costs, Trend Chasing, and Volatility of Stock Prices." Review of Financial Studies, 11 (1998), 521-557.
    • (1998) Review of Financial Studies , vol.11 , pp. 521-557
    • Orosel, G.1
  • 49
    • 0000370145 scopus 로고
    • Endogenous market thinness and stock price volatility
    • Pagano, M. "Endogenous Market Thinness and Stock Price Volatility." Review of Economic Studies, 56 (1989), 269-288.
    • (1989) Review of Economic Studies , vol.56 , pp. 269-288
    • Pagano, M.1
  • 50
    • 43949170563 scopus 로고
    • The flotation of companies in the stock market
    • -. "The Flotation of Companies in the Stock Market." European Economic Review, 37 (1993), 1101-1135.
    • (1993) European Economic Review , vol.37 , pp. 1101-1135
  • 51
    • 0039719454 scopus 로고
    • Stock ownership patterns, stock market fluctuations and consumption
    • Poterba, J., and A. Samwick. "Stock Ownership Patterns, Stock Market Fluctuations and Consumption." Brookings Papers on Economic Activity, 2 (1995), 295-357.
    • (1995) Brookings Papers on Economic Activity , vol.2 , pp. 295-357
    • Poterba, J.1    Samwick, A.2
  • 52
    • 0039473752 scopus 로고
    • A critique of the asset pricing theory's tests-part 1: On past and potential testability of the theory
    • Roll, R. "A Critique of the Asset Pricing Theory's Tests-Part 1: On Past and Potential Testability of the Theory." Journal of Financial Economics, 4 (1977), 129-176.
    • (1977) Journal of Financial Economics , vol.4 , pp. 129-176
    • Roll, R.1
  • 56
    • 84934349023 scopus 로고
    • Informational externalities and welfare-reducing speculation
    • Stein, J. "Informational Externalities and Welfare-Reducing Speculation." Journal of Political Economy, 95 (1987), 1123-1145.
    • (1987) Journal of Political Economy , vol.95 , pp. 1123-1145
    • Stein, J.1
  • 58
    • 0039095262 scopus 로고
    • Asset pricing puzzles and incomplete markets
    • Telmer, C. "Asset Pricing Puzzles and Incomplete Markets." Journal of Finance, 48 (1993), 1803-1832.
    • (1993) Journal of Finance , vol.48 , pp. 1803-1832
    • Telmer, C.1
  • 61
    • 0000836115 scopus 로고
    • Equilibrium asset prices in economies with undiversifiable labor income risk
    • Weil, P. "Equilibrium Asset Prices in Economies with Undiversifiable Labor Income Risk." Journal of Economic Dynamics and Control, 16 (1992), 769-790.
    • (1992) Journal of Economic Dynamics and Control , vol.16 , pp. 769-790
    • Weil, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.