信息不对称背景下的项目风险中立性

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-02-07 DOI:10.1016/j.najef.2025.102383

Fabian Alex

{"title":"信息不对称背景下的项目风险中立性","authors":"Fabian Alex","doi":"10.1016/j.najef.2025.102383","DOIUrl":null,"url":null,"abstract":"<div><div>Using the modeling framework of <span><span>Stiglitz and Weiss (1981)</span></span>, we show that – perhaps surprisingly – there is no influence of average project risk on the capital market equilibrium. The savings interest rate fully determines the amount of credit rationing and the nature of an equilibrium (adverse selection, two-prices etc.). This rate is, in turn, fully determined by the relative probabilities of success of firms’ projects (and, thus, repayment of their debt). Hence, making capital markets overall “less risky”, which may for example be the case when financial markets become greener, does not alleviate concerns of asymmetric information. The result holds both for cases of hidden information and for those of hidden actions.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102383"},"PeriodicalIF":3.8000,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Project risk neutrality in the context of asymmetric information\",\"authors\":\"Fabian Alex\",\"doi\":\"10.1016/j.najef.2025.102383\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Using the modeling framework of <span><span>Stiglitz and Weiss (1981)</span></span>, we show that – perhaps surprisingly – there is no influence of average project risk on the capital market equilibrium. The savings interest rate fully determines the amount of credit rationing and the nature of an equilibrium (adverse selection, two-prices etc.). This rate is, in turn, fully determined by the relative probabilities of success of firms’ projects (and, thus, repayment of their debt). Hence, making capital markets overall “less risky”, which may for example be the case when financial markets become greener, does not alleviate concerns of asymmetric information. The result holds both for cases of hidden information and for those of hidden actions.</div></div>\",\"PeriodicalId\":47831,\"journal\":{\"name\":\"North American Journal of Economics and Finance\",\"volume\":\"77 \",\"pages\":\"Article 102383\"},\"PeriodicalIF\":3.8000,\"publicationDate\":\"2025-02-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"North American Journal of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062940825000233\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940825000233","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

使用斯蒂格利茨和韦斯（1981）的建模框架，我们表明——也许令人惊讶的是——平均项目风险对资本市场均衡没有影响。储蓄利率完全决定了信贷配给的数量和均衡的性质（逆向选择、双重价格等）。反过来，这一比率完全取决于企业项目成功的相对概率（以及它们债务的偿还）。因此，让资本市场整体上“降低风险”，例如当金融市场变得更加环保时，并不能减轻对信息不对称的担忧。结果既适用于隐藏信息的情况，也适用于隐藏操作的情况。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Project risk neutrality in the context of asymmetric information

Using the modeling framework of Stiglitz and Weiss (1981), we show that – perhaps surprisingly – there is no influence of average project risk on the capital market equilibrium. The savings interest rate fully determines the amount of credit rationing and the nature of an equilibrium (adverse selection, two-prices etc.). This rate is, in turn, fully determined by the relative probabilities of success of firms’ projects (and, thus, repayment of their debt). Hence, making capital markets overall “less risky”, which may for example be the case when financial markets become greener, does not alleviate concerns of asymmetric information. The result holds both for cases of hidden information and for those of hidden actions.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.