拉斯维加斯9888

Finance Seminar（2013-25）

Topic:A Theory of Intermediated Investment with Hyperbolic Discounting Investors

Speaker:Ping He, Tsinghua University

Time:Thursday, 19 December, 10:00-11:30

Location:Room 217, Guanghua Building 2

Abstract：We study the role of financial intermediaries in providing liquidity for economic agents with hyperbolic discounting. We show that in a competitive market with financial intermediaries making zero profits, sophisticated agents are offered with a contract of perfect commitment, while naive ones will be attracted by a contract that offers seemingly attractive return in the long run, but introduces a discontinuous penalty for early withdrawal. In competitive equilibrium with partially naive types, Pareto Optimality is not achieved. When types are private information, naive depositors early withdraw and cross-subsidize sophisticated ones. If contracts are linear or a secondary market for long-term deposit contract opens for trading, welfare of partially naive agents will be improved. We show that arbitrage-free contracts offered by financial intermediaries allow for a unique term structure of interest rates, which contains a premium for naivete.