The existence of Pareto-superior price limits

This paper examines the welfare effects of futures price limits under a simple form of market incompleteness. When prices become volatile, shocks to liquidity and fundamentals may occur between the time investors decide to trade and the time their orders are executed. This gives rise to implementati...

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Veröffentlicht in:	The American economic review 1994-09, Vol.84 (4), p.919-932
Hauptverfasser:	Kodres, L.E, O'Brien, D.P
Format:	Artikel
Sprache:	eng
Schlagworte:	ACTIVO CIRCULANTE Business orders Economic models Economic theory Efficient markets Endowments Expected utility Futures FUTURES TRADING Investment risk Investors LIQUID ASSETS LIQUIDITY MARCHE A TERME MARKET PRICES MATHEMATICAL MODELS MODELE MATHEMATIQUE MODELOS MATEMATICOS OPERACIONES A PLAZO POLITICA DE PRECIOS POLITIQUE DES PRIX PRECIOS DE MERCADO Price ceilings PRICE POLICIES Price shocks Prices Pricing PRIX DE MARCHE Rationing RIESGO RISK Risk sharing RISQUE Trade TRESORERIE Volatility Welfare
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