Are Intermediary Constraints Priced?
收藏NBER2019-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w26009
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资源简介：
Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a forward CIP trading strategy that bets on CIP violations shrinking and
提供机构：
美国国家经济研究局
创建时间：
2019-07-01
