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来源类型Working Paper
规范类型报告
DOI10.3386/w18558
来源IDWorking Paper 18558
Embedded Leverage
Andrea Frazzini; Lasse H. Pedersen
发表日期2012-11-21
出版年2012
语种英语
摘要Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis, we find that asset classes with embedded leverage offer low risk-adjusted returns and, in the cross-section, higher embedded leverage is associated with lower returns. A portfolio which is long low-embedded-leverage securities and short high-embedded-leverage securities earns large abnormal returns, with t-statistics of 8.6 for equity options, 6.3 for index options, and 2.5 for ETFs. We provide extensive robustness tests and discuss the broader implications of embedded leverage for financial economics.
主题Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w18558
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/576233
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GB/T 7714
Andrea Frazzini,Lasse H. Pedersen. Embedded Leverage. 2012.
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