| Autor: |
Nicolae G, Jianfeng Yu, Stavros Panageas |
| Rok vydání: |
2015 |
| Předmět: |
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| Zdroj: |
SSRN Electronic Journal. |
| ISSN: |
1556-5068 |
| DOI: |
10.2139/ssrn.2643593 |
| Popis: |
We propose a tractable model of an informationally inecient market. We show the equivalence between our model and a substantially simpler model whereby investors face distortive investment taxes depending both on their identity and the asset class. We use this equivalence to assess existing approaches to inferring whether individual investors have informational advantages. We also develop a methodology of inferring the magnitude of the frictions (implicit taxes) that impede nancial trade. We illustrate the methodology by using data on crosscountry portfolio holdings and returns to quantify these frictions, and locate the directions in which nancial trade seems to be especially impeded. We argue that our measure of frictions contains useful information for the sources of failure of frictionless models, and it helps in studying whether certain factors (such as the size of the nancial sector) are associated with lower nancial frictions. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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