| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26009 |
| 来源ID | Working Paper 26009 |
| Are Intermediary Constraints Priced? | |
| Wenxin Du; Benjamin M. Hébert; Amy Wang Huber | |
| 发表日期 | 2019-07-01 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a “forward CIP trading strategy” that bets on CIP violations shrinking and show that its returns help identify the price of this risk. This strategy yields the highest returns for currency pairs associated with the carry trade. The strategy’s risk contributes substantially to the volatility of the stochastic discount factor, is correlated with both other near-arbitrages and intermediary wealth measures, and appears to be priced consistently across various asset classes. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w26009 |
| 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/583683 |
| 推荐引用方式 GB/T 7714 | Wenxin Du,Benjamin M. Hébert,Amy Wang Huber. Are Intermediary Constraints Priced?. 2019. |
| 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 | ||
| w26009.pdf（1124KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
