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دسته بندی:
مدیریت مالی - Financial Management
سال انتشار:
2018
عنوان انگلیسی مقاله:
Leverage constraints and asset prices: Insights from mutual fund risk taking
ترجمه فارسی عنوان مقاله:
محدودیت های اهرم بندی و قیمت های دارایی: بینش هایی از به خطر افتادن سرمایه دوطرفه
منبع:
Journal of Financial Economics Volume 127, Issue 2, February 2018, Pages 325-341
نویسنده:
Oliver Boguth, Mikhail Simutin
چکیده انگلیسی:
Prior theory suggests that time variation in the degree to which leverage constraints bind affects the pricing kernel. We propose a measure for this leverage constraint tightness by inverting the argument that constrained investors tilt their portfolios to riskier assets. We show that the average market beta of actively managed mutual funds—intermediaries facing leverage restrictions—captures their desire for leverage and thus the tightness of constraints. Consistent with theory, it strongly predicts returns of the betting-against-beta portfolio, and is a priced risk factor in the cross-section of mutual funds and stocks. Funds with low exposure to the factor outperform high-exposure funds by 5% annually, and for stocks this difference reaches 7%. Our results show that the tightness of leverage constraints has important implications for asset prices.
keywords: Leverage constraints |Asset prices |Betting-against-beta |Mutual fund performance |Cross-section of stock returns
قیمت: رایگان
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