Pinna, Andrea - Facoltà di Economia / Wirtschaftswissenschaftliche … - 2015
and has an analytic solution. Such result allows to investigate the impact of pledgeability on informational efficiency …. The margin premium is shown to come with a "pledgeability bias", which increases the conditional variance of the price … threshold level. The impact of pledgeability contributes to explain comovement of asset prices and seemingly violations of the …