Security Baskets and Index-Linked Securities

Gary Gorton and George Pennacchi

The Journal of Business, 1993, vol. 66, issue 1, 1-27

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.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (96)

Downloads: (external link)
http://dx.doi.org/10.1086/296591 full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: Security Baskets and Index-Linked Securities (1991)
Working Paper: Security Baskets and Index-Linked Securities
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:66:y:1993:i:1:p:1-27

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().