Asset Pricing with Dynamic Margin Constraints

• 成果类型: Article
• 署名作者: Rytchkov, Oleg
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12100
• 发表日期: 2014
• 页码: 405-452
• 关键词: Heterogeneous beliefs; PORTFOLIO SELECTION; financial-markets; equilibrium-model; RISK; requirements; volatility; ECONOMY; preferences; contagion

摘要

This paper provides a novel theoretical analysis of how endogenous time-varying margin requirements affect capital market equilibrium. I find that margin requirements, when there are no other market frictions, reduce the volatility and correlation of returns as well as the risk-free rate, but increase the market price of risk, the risk premium, and the price of risky assets. Furthermore, margin requirements generate a strong cross-sectional dispersion of stock return volatilities. The results emphasize that a general equilibrium analysis may reverse the conclusions of a partial equilibrium analysis often employed in the literature.