Margin Requirements and the Security Market Line

• 成果类型: Article
• 署名作者: Jylhae, Petri
• 署名单位: Aalto University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12616
• 发表日期: 2018
• 页码: 1281-1321
• 关键词: stock-market; cross-section; Expected returns; volatility; RISK; equilibrium; liquidity; assets; prices

摘要

Between 1934 and 1974, the Federal Reserve changed the initial margin requirement for the U.S. stock market 22 times. I use this variation to show that investors' leverage constraints affect the pricing of risk. Consistent with earlier theoretical predictions, I find that tighter leverage constraints result in a flatter relation between betas and expected returns. My results provide strong empirical support for the idea that the constraints investors face may help explain the empirical failure of the capital asset pricing model.