Funding Liquidity Implied by S&P 500 Derivatives
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2015
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Zusammenfassung
We derive a funding liquidity measure based on synthetic borrowing in the S&P 500 derivative markets. Our measure captures funding constraints of option liquidity providers and affects importantly the returns of leveraged managed portfolios. Hedge funds with negative exposure to changes in the funding liquidity earn high returns in normal times and low returns in crises periods when funding liquidity deteriorates. The results are not driven by the existing measures of funding or market liquidity. To an extent, our funding liquidity measure also affects leveraged closed-end mutual funds and asset classes where leveraged investors are marginal investors.
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330 Wirtschaft
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funding liquidity, hedge funds, risk premium, return prediction
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GOLEZ, Benjamin, Jens JACKWERTH, Anna SLAVUTSKAYA, 2015. Funding Liquidity Implied by S&P 500 DerivativesBibTex
@techreport{Golez2015Fundi-36309, year={2015}, title={Funding Liquidity Implied by S&P 500 Derivatives}, author={Golez, Benjamin and Jackwerth, Jens and Slavutskaya, Anna} }
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