The present paper studies a class of general equilibrium economies with imperfectly competitive financial intermediaries and price-taking consumers. Intermediaries optimally choose the securities they issue and the bid-ask spread they charge. Financial intermediation is costly, and hence markets are endogenously incomplete. An appropriate equilibrium concept is developed, and existence is prove...

This study extends from Liu and Mei (1992) by further investigation of assets, real estate related securities, which includes both equity and mortgage real estate investment trusts (REITs), the stocks of builderand owner-companies, and mortgagebacked securities (MBSs). There are five major findings. First, expected excess returns of real estate related securities are more predictable than the e...

In an exchange economy under uncertainty with two periods, one physical good, and finitely many states of the world, we show that for every (complete or incomplete) market span there exists a sequence of securities such that if they are introduced into markets one by one, the prices of any security is not affected by the subsequent introduction of newer securities and they together generate the...

Because these instruments are so important, they are studied on a regular basis. Each day, people decide to take risks by entering the securities market. Some investors rely on public information to choose which securities they should buy; others use sophisticated models that they hope will give them a money-making edge in this strictly competitive market. Using their models, these investors co...

Assume we are given a market consisting of m securities and k factors. The prices of securities depend on factors, the set of which may include dividend yields, rate of inflation, short term interest rates etc. Denote by V (n) the value of portfolio at time n. Given portfolio strategy h(n) = (h1(n), . . . , hm(n)) T , which is an R vector ( stands for the transpose) representing parts of capita...