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Security Baskets and Index-Linked Securities

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Author Info
Gorton, Gary B
Pennacchi, George G
Abstract

Security baskets and index-linked securities are securities whose values are aggregates of the cash flows or values of other assets. Creation of these "composite" securities improves the welfare of uninformed investors by reducing their trading losses. The introduction of composite securities can also affect real investment decisions. When investors are exposed to nontradeable, heterogeneous risks, different trading equilibria are possible. Markets for multiple composite securities may exist or, when the degree of heterogeneity is high, markets for a single composite security and its component securities may coexist. No results depend on the existence of exogenous "noise" traders. Copyright 1993 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 66 (1993)
Issue (Month): 1 (January)
Pages: 1-27
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ucp:jnlbus:v:66:y:1993:i:1:p:1-27

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