Margin-based Asset Pricing and Deviations from the Law of One Price

• 成果类型: Article
• 署名作者: Garleanu, Nicolae; Pedersen, Lasse Heje
• 署名单位: National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr027
• 发表日期: 2011
• 页码: 1980
• 关键词: equilibrium; MARKET; consumption; liquidity; constraints; leverage; MODEL

摘要

In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns increase in both their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities. Such a funding-liquidity crisis gives rise to bases, that is, price gaps between securities with identical cash-flows but different margins. In the time series, bases depend on the shadow cost of capital, which can be captured through the interest-rate spread between collateralized and uncollateralized loans and, in the cross-section, they depend on relative margins. We test the model empirically using the credit default swap-bond bases and other deviations from the Law of One Price, and use it to evaluate central banks' lending facilities.