Review of Financial Studies, Volume 31, No. 9, September 2018

部分分割市场中的资产价格动态研究

作者：Robin Greenwood (Harvard University and NBER)

Samuel Hanson (Harvard University and NBER)

Gordon Liao (Federal Reserve Board)

摘要：我们提出了一种模型，在这种模型框架下，资本在同一个资产类别内快速调整，但在资产类别之间缓慢流动。大多数投资者专注于单一资产类别，但少数精通者逐渐在各个市场重新分配资本。在大量供应冲击到来时，直接受影响的资产类别的风险价格与其他类别的风险价格脱节。长期来看，资本流动导致风险价格变得更加一致。然而，直接受影响的市场中的价格最初反应过度，相关市场的价格可能反应不足。我们使用该模型重新评估量化宽松的事件研究证据。

Asset Price Dynamics in Partially Segmented Markets

Robin Greenwood (Harvard University and NBER), Samuel Hanson (Harvard University and NBER), Gordon Liao (Federal Reserve Board)

ABSTRACT

We develop a model in which capital moves quickly within an asset class but slowly between asset classes. While most investors specialize in a single asset class, a handful of generalists gradually reallocate capital across markets. Upon the arrival of a large supply shock, prices of risk in the directly affected asset class become disconnected from those in others. Over the long run, capital flows cause prices of risk to become more closely aligned. While prices in the directly affected market initially overreact, prices in related markets may underreact. We use the model to reassess event-study evidence on quantitative easing.

原文链接：http://www.people.hbs.edu/shanson/smc_paper_20170910.pdf

翻译：吕越