Security Baskets and Index-Linked Securities
AbstractSecurity baskets and index-linked securities are securities whose values are aggregates of the cash flows or values of other assets. Creation of these "composite" securities improves the welfare of uninformed investors by reducing their trading losses. The introduction of composite securities can also affect real investment decisions. When investors are exposed to nontradeable, heterogeneous risks, different trading equilibria are possible. Markets for multiple composite securities may exist or, when the degree of heterogeneity is high, markets for a single composite security and its component securities may coexist. No results depend on the existence of exogenous "noise" traders. Copyright 1993 by University of Chicago Press.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 66 (1993)
Issue (Month): 1 (January)
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Web page: http://www.journals.uchicago.edu/JB/
Other versions of this item:
- Gary Gorton & George Pennacchi, 1991. "Security Baskets and Index-Linked Securities," NBER Working Papers 3711, National Bureau of Economic Research, Inc.
- George Pennacchi & Gary Gorton, . "Security Baskets and Index-Linked Securities," Rodney L. White Center for Financial Research Working Papers 29-89, Wharton School Rodney L. White Center for Financial Research.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Diamond, Douglas W & Dybvig, Philip H, 1983.
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- Mark Rubinstein., 1989. "Market Basket Alternatives," Research Program in Finance Working Papers RPF-187, University of California at Berkeley.
- Myers, Stewart C. & Majluf, Nicholas S., 1984. "Corporate financing and investment decisions when firms have information that investors do not have," Journal of Financial Economics, Elsevier, vol. 13(2), pages 187-221, June.
- Stewart C. Myers & Nicholas S. Majluf, 1984. "Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have," NBER Working Papers 1396, National Bureau of Economic Research, Inc.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
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