Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates of substitution, so that they value assets differently. Consequently, agents hold different portfolios. This leads to endogenous markets segmentation, which we characterize with optimal transport methods. Moreover, there is a basis going always in the same direction: the price of a security is lower than that of replicating portfolios of long positions. Finally, equilibrium expected returns are concave in factor loadings. (JEL D51, D52, G11, G12)

中文翻译：

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激励约束风险分担、细分和资产定价

激励问题使证券的收益不能完全质押，限制了代理人发行负债的能力。我们分析了动态交换经济中这种内生不完备性的均衡后果。由于市场是内生不完全的，代理人具有不同的跨期边际替代率，因此他们对资产的估值不同。因此，代理人持有不同的投资组合。这导致了内生市场细分，我们用最佳运输方法对其进行了表征。此外，有一个始终朝着同一个方向发展的基础：证券的价格低于复制多头头寸投资组合的价格。最后，均衡预期收益在因子载荷中是凹的。(JEL D51, D52, G11, G12)