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SUMMARY:Incentive Constrained Risk Sharing\, Segmentation\, and Asset Pric
 ing
DTSTART:20170303T103000
DTEND:20170303T120000
DTSTAMP:20260407T103242Z
UID:1f86470181aab5dcd1a067d2f6b9609c17593165165c7341342a91e6
CATEGORIES:Conferences - Seminars
DESCRIPTION:Johan HOMBERT (HEC Paris)\nWe analyse a one-period general equ
 ilibrium asset pricing model with standard corporate finance frictions (ca
 sh-diversion). Incentive compatibility constraints imply that the market i
 s endogenous incomplete. They also induce endogenous segmentation\, as dif
 ferent types of investors hold different assets in equilibrium\, and co-mo
 vements in asset prices. Equilibrium expected excess returns reflect two p
 remia: a risk premium\, which is positive if the return on the asset is la
 rge when the pricing kernel is low\, but which does not reflect aggregate 
 or individual consumption due to incentive compatibility constraints\; and
  a divertibility premium\, which is positive if the return on the asset la
 rge when incentive-compatibility constraints bind. This divertibility prem
 ium is inverse-U shaped with betas\, in line with the empirical findings t
 hat the security market line is flat at the top.\n 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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