Intermediary-based equity term structure

• 成果类型: Article
• 署名作者: Li, Kai; Xu, Chenjie
• 署名单位: Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103856
• 发表日期: 2024
• 关键词: Equity term structure; Financial intermediary; mean reversion; Relative tightness index; Discount rate

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.