Научный семинар МИЭФ, Marcin Kacperczyk (Imperial College London)
В четверг, 11 мая в 16.40 в ауд. 3211 (ул. Шаболовка, 26) пройдет научный семинар МИЭФ.
Докладчик: Marcin Kacperczyk (Imperial College London)
Тема доклада: "Market Power and Price Informativeness" совместно с Jaromir Nosal и Savitar Sundaresan
Тезисы доклада: 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.
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