文档介绍：
SPECULA TIVE SECURITIES
Jos e M. Mar n
Departmen t of Economics and Finance
Univ ersitat P omp eu F abra
Ram on T r as F argas 25{27, 08005 Barcelona, Spain
Email: ******@
and
Rohit Rahi
Departmen t of Economics
Birkb ec k College, Univ ersit y of London
7{15 Gresse Street, London W1P 2LL, U. K.
Email: ******@
h ttp://.uk/facult y/ tml
April 28, 1997
W ew ould lik etoac kno wledge nancial supp ort from the Spanish Ministry of Education
(DGICYT gran t PB95{0978), CREF at P omp eu F abra, and the Institute for Financial
Researc h at Birkb ec k College. W e are grateful to Piero Gottardi for men ts.
ABSTRA CT
A sp eculativ e securit y is an asset whose pa y o dep ends on a random sho c k uncorrelated with
economic fundamen tals (a sunsp ot) ab out whic h some traders ha v e sup erior information.
In this pap er w e sho w that agen ts ma y nd it desirable to trade suc h a securit y in spite of
the fact that it is a p o orer hedge against their endo wmen t risks at the time of trade, and
has an asso ciated adv erse selection cost. In the sp eci c institutional setting of inno v ation of
futures con tracts, w e sho w that a futures exc hange ma y not ha v e an incen tiv etoin tro duce
a sp eculativ e securit yev en when all traders fa v or it.
Journal of Economic Literature Classi cation Num b ers: D82, G14.
Keywor ds: Information Rev elation, Sunsp ots, Securit y Design, F utures Con tract, T rading
V olume.
2
1. In tro duction
There are sev eral examples of nancial instrumen ts whose pa y o s dep end on the re-
alization of lotteries that pletely unrelated to agen ts' endo wmen ts and preferences
( . \sunsp ots"), regarding whic h some agen ts ma y ha v e priv ate information. An exam-
ple in the futures industry is that of the \presiden tial futures" launc hed last y ear b y the
mo dities and Ra w Materials Exc hange in Mosco w. These con tracts, whic h
w ere hea v