ICEF Research Seminar by Marcin Kacperczyk (Imperial College London)
On Thursday, May 11 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF will hold the Research Seminar.
Speaker: Marcin Kacperczyk (Imperial College London)
Theme: "Market Power and Price Informativeness" joint with Jaromir Nosal and Savitar Sundaresan
Abstract: Levels and concentration of institutional equity ownership have been growing steadily over the last few decades raising concerns of potential market instability. We study theoretically and empirically the consequences of changes in ownership structure for informational content of prices, on average and across assets with different characteristics. Our theoretical framework is a general equilibrium portfolio-choice model with endogenous information acquisition and market power. We show that, in the cross section, an increase in institutional (informed) ownership increases price informativeness, and an increase in concentration of ownership leads to lower informativeness. We confirm similar effects in the data of U.S. stocks over the period 1980-2015. The policy experiments of changing ownership structure indicate a non-monotonic relationship between the levels and concentration of ownership and price informativeness. We conclude that any policy targeting ownership structure should factor in its effects on welfare through price informativeness.
Everyone interested is welcome to attend!
Pass can be ordered by:
contact: Zheleznov Slava