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UID:3f82b35a8880282fcddabbb70b2055ce
CATEGORIES:Seminars
CREATED:20170418T190156
SUMMARY:Johan Hombert - HEC Paris
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing (with B
 runo Biais and Pierre-Olivier Weill)\nAbstract:\n We analyse a one-period g
 eneral equilibrium asset pricing model with standard corporate finance fric
 tions (cash-diversion). Incentive compatibility constraints imply that the 
 market is endogenous incomplete. They also induce endogenous segmentation, 
 as different types of investors hold different assets in equilibrium, and c
 o-movements in asset prices. Equilibrium expected excess returns reflect tw
 o premia: a risk premium, which is positive if the return on the asset is l
 arge when the pricing kernel is low, but which does not reflect aggregate o
 r individual consumption due to incentive compatibility constraints; and a 
 divertibility premium, which is positive if the return on the asset large w
 hen incentive-compatibility constraints bind. This divertibility premium is
  inverse-U shaped with betas, in line with the empirical findings that the 
 security market line is flat at the top.\n
DTSTAMP:20260406T151101Z
DTSTART:20160926T173000Z
DTEND:20160926T190000Z
SEQUENCE:0
TRANSP:OPAQUE
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