嵌入式杠杆

IF 2.2 Q2 BUSINESS, FINANCE Review of Asset Pricing Studies Pub Date : 2021-09-22 DOI:10.1093/rapstu/raab022

Frazzini A, Pedersen L, Pontiff J.

{"title":"嵌入式杠杆","authors":"Frazzini A, Pedersen L, Pontiff J.","doi":"10.1093/rapstu/raab022","DOIUrl":null,"url":null,"abstract":"<span><div>Abstract</div>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 empirically that options and leveraged ETFs provide significant amounts of embedded leverage; this embedded leverage increases return volatility in proportion to the embedded leverage; and higher embedded leverage is associated with lower risk-adjusted returns. The results are statistically and economically significant, and we provide extensive robustness tests and discuss the broader implications of embedded leverage for financial economics. (<span style=\"font-style:italic;\">JEL</span> G02, G11, G12, G13, G14, G20)</span>","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":null,"pages":null},"PeriodicalIF":2.2000,"publicationDate":"2021-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Embedded Leverage\",\"authors\":\"Frazzini A, Pedersen L, Pontiff J.\",\"doi\":\"10.1093/rapstu/raab022\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<span><div>Abstract</div>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 empirically that options and leveraged ETFs provide significant amounts of embedded leverage; this embedded leverage increases return volatility in proportion to the embedded leverage; and higher embedded leverage is associated with lower risk-adjusted returns. The results are statistically and economically significant, and we provide extensive robustness tests and discuss the broader implications of embedded leverage for financial economics. (<span style=\\\"font-style:italic;\\\">JEL</span> G02, G11, G12, G13, G14, G20)</span>\",\"PeriodicalId\":21144,\"journal\":{\"name\":\"Review of Asset Pricing Studies\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2021-09-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Asset Pricing Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1093/rapstu/raab022\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Asset Pricing Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1093/rapstu/raab022","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

摘要许多金融工具的设计都带有嵌入杠杆，如期权和杠杆交易所交易基金(etf)。嵌入式杠杆缓解了投资者的杠杆约束，因此，我们假设嵌入式杠杆降低了要求回报。与这一假设一致，我们从经验上发现期权和杠杆etf提供了大量的嵌入杠杆;这种内嵌杠杆增加了与内嵌杠杆成比例的回报波动性;较高的隐含杠杆与较低的风险调整收益相关。结果在统计上和经济上都是显著的，我们提供了广泛的稳健性测试，并讨论了嵌入杠杆对金融经济学的更广泛影响。(凝胶g02, g11, g12, g13, g14, g20)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Embedded Leverage

Abstract

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 empirically that options and leveraged ETFs provide significant amounts of embedded leverage; this embedded leverage increases return volatility in proportion to the embedded leverage; and higher embedded leverage is associated with lower risk-adjusted returns. The results are statistically and economically significant, and we provide extensive robustness tests and discuss the broader implications of embedded leverage for financial economics. (JEL G02, G11, G12, G13, G14, G20)

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.

期刊最新文献

Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination A Survey of Short-Selling Regulations Systematic Skewness and Stock Returns Estimating Probability Weighting Functions through Option Pricing Bounds Predicting the Equity Premium with Combination Forecasts: A Reappraisal