Output contingent securities and efficient investment by firms - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2014

Output contingent securities and efficient investment by firms

Résumé

We analyze competitive financial economies in which firms make risky investments. Unlike the classic Arrow–Debreu framing, firms and agents cannot contract upon the exogenous states of nature underlying production risks. The only available securities are equities and all possible derivatives written on the endogenous aggregate output. It is well-known that this financial structure is rich enough to promote efficient risk sharing across consumers. However, markets are incomplete from the production perspective, and the absence of market prices for each primitive state of nature raises issues on the objective of firms. We show that asset prices combined with competitive beliefs convey sufficient information to compute a competitive shareholder value that leads to efficient investment by firms.
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Dates et versions

hal-01097363 , version 1 (19-12-2014)
hal-01097363 , version 2 (30-12-2015)
hal-01097363 , version 3 (09-12-2016)
hal-01097363 , version 4 (13-10-2017)

Identifiants

  • HAL Id : hal-01097363 , version 1

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Luis H. B. Braido, Victor Filipe Martins da Rocha. Output contingent securities and efficient investment by firms. 2014. ⟨hal-01097363v1⟩
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