| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27959 |
| 来源ID | Working Paper 27959 |
| Liquidity and Volatility | |
| Itamar Drechsler; Alan Moreira; Alexi Savov | |
| 发表日期 | 2020-10-19 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Liquidity provision is a bet against private information: if private information turns out to be higher than expected, liquidity providers lose. Since information generates volatility, and volatility co-moves across assets, liquidity providers have a negative exposure to aggregate volatility shocks. As aggregate volatility shocks carry a very large premium in option markets, this negative exposure can explain why liquidity provision earns high average returns. We show this by incorporating uncertainty about the amount of private information into an otherwise standard model. We test the model in the cross section of short-term reversals, which mimic the portfolios of liquidity providers. As predicted by the model, reversals have large negative betas to aggregate volatility shocks. These betas explain their average returns with the same risk price as in option markets, and their predictability by VIX in the time series. Volatility risk thus explains the liquidity premium among stocks and why it increases in volatile times. Our results provide a novel view of the risks and returns to liquidity provision. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w27959 |
| 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/585633 |
| 推荐引用方式 GB/T 7714 | Itamar Drechsler,Alan Moreira,Alexi Savov. Liquidity and Volatility. 2020. |
| 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 | ||
| w27959.pdf（759KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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