تعادل بازار سرمایه با اثرات جانبی، تولید و عوامل نامتجانس

The paper studies general equilibrium in an economy with externalities, production and heterogeneous agents. The model developed builds on Brock [Brock, W.A., 1982. Asset prices in a production economy. In: McCall, J.J. (Ed.), The Economics of Information and Uncertainty. University of Chicago Press, Chicago, pp. 1–43] and Merton [Merton, R.C., 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510]; it involves both a stock market and a market for loans, together with negative externalities produced by a subset of firms. Importantly, the technological production structure of the firms is reflected in the properties of the shares traded in the stock market. Agents are heterogeneous in their financial choices, potentially discriminating against the firms producing a negative externality. The model sheds light on the utility costs of the discriminating behavior and on the impact on the price of the stock issued by the firm which is responsible for the externality. The model is used to study the factors which may magnify or reduce the impact of discrimination. A set of discriminated firms may be seriously affected only if the discriminating investors command a large portion of overall wealth and/or they do not represent important diversification instruments. The model can be applied to understanding the effects of socially responsible investment, whereby investors discriminate against companies belonging to some sectors which are perceived as socially dangerous or unethical.

This paper develops a two-period general equilibrium model combining the following features: uncertainty, production, externalities and heterogeneous agents. Agents are heterogeneous in their willingness to buy the financial assets issued by two classes of firms and as a consequence are themselves divided in two classes. Agents in one class discriminate against the financial assets issued by firms belonging to the externality-producing sector. They discriminate by not buying the assets issued by the firms. In so doing, they restrict their investment opportunity set and therefore their expected utility, given the level of production of the firms. However, in general equilibrium the production levels are not given, but optimally chosen by the firms. A change in the structure of relative prices of financial assets may affect the production decisions of the firms and the amount of externality generated in the economy. We assume that agents are atomistic, in the sense of believing each of them is too small to affect the general equilibrium of the economy. Discrimination is therefore not an individually rational choice, because it is decided by agents taking equilibrium prices and quantities as given. However, it might turn out to be ex post welfare-improving, if the effects on the demand for financial assets are relevant for modifying equilibrium prices and quantities. We believe that the implications of the model may be relevant for studying various cases of restrictions imposed to some classes of institutional investors, for example restrictions associated with holdings small stocks, private equity, hedge funds. In these cases such financial organizations have to take into account external regulations presumably aimed at protecting the final individual stakeholders. The model may also be used to study the issue of socially responsible investment (SRI), which may be defined as a style of making portfolio choices which go beyond the analysis of the probability distribution of returns to also involve a study of the social impact of the production activities carried out by the firms having issued the financial assets. The typical case is that of a mutual or pension fund manager excluding tobacco stocks or polluting stocks a priori from his asset allocation.1 This investment style is not externally imposed by regulations, but is chosen by the investor. It involves in general an expected utility loss to those using it, associated with the decrease in the investment opportunity set. Contrary to the case of institutional investors targeting firms for corporate governance reasons, socially responsible investors in general do not expect to obtain a positive payoff from their action of discrimination, especially when they are aimed at general ethical (e.g. human rights) or environmental (e.g. sustainable development) issues. This of course does not mean that socially responsible investors ignore the return and risk from their investment. They can still be modelled as expected utility maximizers, who however are willing to restrict their investment opportunity set in order to pursue more general objectives. But how effective is discrimination in financial markets? Consider a case where the supply function of shares of a firm is vertical and the demand function is negatively sloped. Then discrimination may shift the demand function down and decrease the equilibrium price. However one could argue that the price of a stock is the present discounted value of its fundamentals. In this case the decreased demand on the part of one group of investors would be rapidly offset by an increased demand on the part of another group who would perceive the opportunity to buy stocks at a market price lower than value. Moreover, one has to take into account the existence of a multiplicity of financial channels linking firms and savers. Discrimination uniquely targeted at stocks may miss the relevance of lending on the part of other financial institutions. The general equilibrium framework considered in this paper may be used in order to study this problem, because it allows for both production financed by loans and for stocks which are priced by means of discounting profits with a stochastic discount factor based on marginal consumption. Moreover the model allows for heterogeneity of discrimination among agents and the existence of lending, and, importantly, motivates the discriminating financial choice on the basis of an objective negative externality associated with one class of firms. The plan of the paper is as follows. After this introduction, the second section describes the general equilibrium model. The third section comments on the results obtained from numerical solution of the model. The fourth section concludes.

We consider a simple two-period general equilibrium model with uncertainty, production, heterogeneous agents and externalities. We study the existence of discrimination against the firms generating a negative externality towards a subset of the consumers. We consider various channels for discrimination, from not lending to not purchasing the stock issued by the firms. The theoretical model merges the models of Merton (1987) and Brock (1982) by considering both a production economy and heterogeneous demand functions for financial assets. It extends both models by adding an externality. The model is simple but powerful enough to show some strong implications. Perhaps one of the main messages emerging from the results is that discriminating against firms by means of financial markets is not likely to be a major force in shaping the market equilibrium under certain specific conditions. Such conditions involve combinations of the following elements: (i) discrimination restricted to a small subset of the agents, (ii) high substitutability across firms and (iii) existence of many channels of financial communication between firms and investors. Point (i) is shown by the experiments with varying initial wealth controlled by the two subsets of investors, point (ii) by the experiments with varying correlation among states of nature and point (iii) by the analysis of the use of stocks and loans in the model. Of course the conditions under which discrimination is not powerful are also the conditions under which the cost of financial discrimination is modest. Of course our results are obtained in the context of a stylized model. Stock market based discrimination is more likely to be relevant whenever companies are heavily dependent on the stock market as a financing instrument. For example companies are crucially dependent on the stock market in the phase of the initial public offering. Also the initial phase of venture capital depends heavily on the possibility to liquidate the investment by means of a public offering. A coalition of socially responsible investors which were able to boycott the IPO of a firm might perhaps be useful to block its expansion, even though it is hard to believe that other non-responsible investors were not willing to finance a profitable business. On the other hand the model shows how crucial is the lending activity in determining the effectiveness of discrimination. To be truly effective, investors should not only discriminate against stocks but also establish a coalition with the banking sector, trying to coordinate the efforts. This rarely happens. The implication is that active investors should first try to coordinate with financial institutions and then launch a joint effort at discrimination, which could then be truly effective or, alternatively, they should also discriminate the shares of the banks financing the firms responsible for the targeted behavior.