Читать книгу Competitive Advantage in Investing - Steven Abrahams - Страница 35

The line of thinking first kindled by Fisher Black and fueled by Andrea Frazzini and Lasse Pedersen leads directly to considering all limits that shape investor behavior and asset value. Differences in access to leverage, for instance, create incentive for some investors to hold assets that inefficiently deliver risk and return. Those constrained investors reach for high beta stocks, and pricing of high beta stocks becomes dominated by inefficient capital flows. Limited leverage is not the only investor constraint, however. The cost of funds, the ability to hedge or offset risk, the quality of information, tax law, accounting rules, and legal and political constraints have heavy influence on individual and institutional portfolios. To the extent that constraints divide investors and their capital into groups and groups dominate different parts of the investment market, constraints shape asset value. Asset value changes systematically not just with the broad influences captured by market beta but also with the changing constraints on groups of investors.

In a market with constrained investors, each investor has to find a portfolio that efficiently considers the risk and return of the broad market, the current and future constraints the investor faces, and the current and future constraints of other investors. These all are risks that investors cannot diversify away and that require compensation. Robert Merton (1973a) long ago sketched the outlines of a market where investors considered not just the market basket of investments but also their ability to actually use the returns from their investment portfolios or reinvest those returns. Managing an efficient portfolio requires looking out into possible future investment opportunities and the constraints that shape both the investor and competing portfolios. That is the direction where theory goes next.