G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9885
DP9885 Liquidity Risk and the Dynamics of Arbitrage Capital
Dimitri Vayanos; Péter Kondor
发表日期2014-03-16
出版年2014
语种英语
摘要We develop a continuous-time model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have CRRA utility, while hedgers? asset demand is independent of wealth. An increase in hedgers? risk aversion can make arbitrageurs endogenously more risk-averse. Because arbitrageurs generate endogenous risk, an increase in their wealth or a reduction in their CRRA coefficient can raise risk premia despite Sharpe ratios declining. Arbitrageur wealth is a priced risk factor because assets held by arbitrageurs offer high expected returns but suffer the most when wealth drops. Aggregate illiquidity, which declines in wealth, captures that factor.
主题Financial Economics
关键词Arbitrage capital Asset pricing Liquidity Liquidity risk Risk-sharing
URLhttps://cepr.org/publications/dp9885
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538719
推荐引用方式
GB/T 7714
Dimitri Vayanos,Péter Kondor. DP9885 Liquidity Risk and the Dynamics of Arbitrage Capital. 2014.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Dimitri Vayanos]的文章
[Péter Kondor]的文章
百度学术
百度学术中相似的文章
[Dimitri Vayanos]的文章
[Péter Kondor]的文章
必应学术
必应学术中相似的文章
[Dimitri Vayanos]的文章
[Péter Kondor]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。