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Asset Prices in Segmented and Integrated Markets

The department of Mathematics and Statistics at the University of Limerick invites you to a seminar by Prof Paolo Guasoni (Dublin City University

Title: Asset Prices in Segmented and Integrated Markets

Abstract: This paper evaluates the effect of market integration on prices and welfare, in a model where two Lucas trees grow in separate regions with similar investors. We find equilibrium asset price dynamics and welfare both in segmentation, when each region holds its own asset and consumes its dividend, and in integration, when both regions trade both assets and consume both dividends. Integration always increases welfare. Asset prices may increase or decrease, depending on the time of integration, but decrease on average. Correlation in assets' returns is zero or negative before integration, but significantly positive afterwards, explaining some effects commonly associated with financialization. 

This seminar will take place on Friday 13th April, at 4p.m. in Room A2-002

If you have any questions regarding this seminar, please direct them to Iain Moyles (061 233726, iain.moyles@ul.ie).

A full list of upcoming seminars can be found at http://www.ulsites.ul.ie/macsi/node/48011

Supported by Science Foundation Ireland funding, MACSI - the Mathematics Applications Consortium for Science and Industry (www.macsi.ul.ie), centred at the University of Limerick, is dedicated to the mathematical modelling and solution of problems which arise in science, engineering and industry in Ireland.

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