| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23231 |
| 来源ID | Working Paper 23231 |
| Asset Mispricing | |
| Kurt F. Lewis; Francis A. Longstaff; Lubomir Petrasek | |
| 发表日期 | 2017-03-13 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We use a unique dataset of corporate bonds guaranteed by the full faith and credit of the U.S. to test a number of recent theories about why asset prices may diverge from fundamental values. These models emphasize the role of funding liquidity, slow-moving capital, the leverage of financial intermediaries, and other frictions in allowing mispricing to occur. Consistent with theory, we find there are strong patterns of commonality in mispricing and that changes in dealer haircuts and funding costs are significant drivers of mispricing. Furthermore, mispricing can trigger short-term margin and funding-cost spirals. Using detailed bond and dealer-level data, we find that most of the cross-sectional variation in mispricing is explained by differences in dealer funding costs, inventory positions, and trading liquidity measures. These results provide strong empirical support for a number of current theoretical models. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w23231 |
| 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/580905 |
| 推荐引用方式 GB/T 7714 | Kurt F. Lewis,Francis A. Longstaff,Lubomir Petrasek. Asset Mispricing. 2017. |
| 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 | ||
| w23231.pdf（518KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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