Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

• 成果类型: Article
• 署名作者: Chen, Hui; Joslin, Scott; Ni, Sophie Xiaoyan
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Hong Kong Baptist University; Lingnan University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy004
• 发表日期: 2019
• 页码: 228
• 关键词: expected stock returns; asset; identification; INFORMATION; liquidity; tests; MODEL

摘要

We propose a new measure of financial intermediary constraints based on how intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money index put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public investors are likely to be mainly driven by shocks to intermediary constraints. We then infer tightness of intermediary constraints from the quantities of option trading. A tightening of intermediary constraints according to our measure is associated with increasing option expensiveness, higher risk premia, deteriorating funding liquidity, and broker-dealer deleveraging. Received December 1, 2014; editorial decision May 19, 2017 by Editor Geert Bekaert. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.