| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18558 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w18558 |
| 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/576233 |
| 推荐引用方式 GB/T 7714 | Andrea Frazzini,Lasse H. Pedersen. Embedded Leverage. 2012. |
| 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 | ||
| w18558.pdf（899KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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