Financial market concentration and misallocation

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Daniel Neuhann, Michael Sockin
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引用次数: 0

Abstract

How does financial market concentration affect capital allocation? We propose a complete-markets model in which real investment and financial price impact are jointly determined in general equilibrium. We identify a two-way feedback mechanism whereby price impact induces misallocation and misallocation raises price impact. The mechanism is stronger if productivity is low or productivity dispersion is high. Given rising dispersion, the model can rationalize trends in corporate discount rates, cash holdings, investment, asset prices, and capital reallocation over the last two decades, even when market concentration is relatively stable. Overall, our findings suggest that financial market concentration may hamper allocative efficiency.

金融市场的集中和配置不当
金融市场集中度如何影响资本配置?我们提出了一个完全市场模型,在这个模型中,实际投资和金融价格影响在一般均衡中共同决定。我们发现了一种双向反馈机制,即价格影响会诱发配置不当,而配置不当则会提高价格影响。如果生产率较低或生产率离散度较高,这种机制就会更强。在分散度上升的情况下,即使市场集中度相对稳定,该模型也能合理解释过去二十年中企业贴现率、现金持有量、投资、资产价格和资本重新配置的趋势。总体而言,我们的研究结果表明,金融市场集中度可能会阻碍配置效率。
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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
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