Leveraged Funds and the Shadow Cost of Leverage Constraints
成果类型：
Article
署名作者：
Lu, Zhongjin; Qin, Zhongling
署名单位：
University System of Georgia; University of Georgia; Auburn University System; Auburn University
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.13012
发表日期：
2021
页码：
1295-1338
关键词：
摘要：
Using the most comprehensive data set of leveraged funds known to the literature, we measure the market-wide shadow cost of leverage constraints and examine its pricing implications. The shadow cost averages 0.53% per annum from 2006 to 2016, spikes upon quarter-ends when banks face tighter capital requirements, positively predicts future betting-against-beta (BAB) returns, and negatively correlates with contemporaneous BAB returns. Stocks that experience lower returns when the shadow cost increases earn 0.85% more per month. Overall, our shadow cost measure fits the predictions of leverage-constraint-based theories better than the widely used TED spread.