| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9885 |
| 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 |
| URL | https://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. |
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