کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7352265 1476981 2017 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of transaction costs on state-contingent claims mispricing
ترجمه فارسی عنوان
تأثیر هزینه های معامله در ادعاهای احتمالی دولت، اشتباه است
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We analyze the impact that transaction costs have on asset mispricing in state-contingent claims markets. In particular, we examine betting markets, in which, it has been argued, transaction costs cause the favorite-longshot bias, a pricing anomaly analogous to the volatility smile in options markets. By using a heterogeneous agents model, we prove that transaction costs alone cannot cause mispricing. Also, we run agent-based simulations to character- ize the response of market prices to increments in transaction costs. We find that transaction costs have a significant impact on market inefficiency, by amplifying existing mispricing both directly, influencing market prices, and indirectly, inducing a non-linear response from the agents.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 23, November 2017, Pages 174-178
نویسندگان
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