期限(时间)
衡平法
业务
经济
金融经济学
政治学
物理
量子力学
法学
标识
DOI:10.1016/j.jfineco.2024.103856
摘要
We demonstrate that a financial intermediary-based asset pricing model offers a compelling explanation for a new set of conditional moments of equity term structure and convenience yields. The model's key mechanism is that the time-varying tightness of intermediaries' leverage constraints drives significant mean reversion in the price of risk. This model guides us in devising a novel empirical methodology to estimate the tightness of these constraints (i.e., the Relative Tightness Index) from cross-sectional returns of various asset classes. Our findings affirm that this measure significantly drives the dynamics of equity yield slope and convenience yields, both empirically and quantitatively.
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