Margin-Based Asset Pricing and Deviations from the Law of One Price
收藏NBER2011-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w16777
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资源简介：
In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns are characterized both by their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe ratios
提供机构：
美国国家经济研究局
创建时间：
2011-02-01
