| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16777 |
| 来源ID | Working Paper 16777 |
| Margin-Based Asset Pricing and Deviations from the Law of One Price | |
| Nicolae Gârleanu; Lasse Heje Pedersen | |
| 发表日期 | 2011-02-10 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns are characterized both by their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but different margins. In the time series, bases depend on the shadow cost of capital, which can be captured through the interest-rate spread between collateralized and uncollateralized loans, and, in the cross section, they depend on relative margins. We test the model empirically using the CDS-bond bases and other deviations from the Law of One Price, and use it to evaluate central banks' lending facilities. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w16777 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574452 |
| 推荐引用方式 GB/T 7714 | Nicolae Gârleanu,Lasse Heje Pedersen. Margin-Based Asset Pricing and Deviations from the Law of One Price. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16777.pdf（582KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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