杠杆投机者和资产价格

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2023-10-31 DOI:10.1093/rof/rfad037

Wenxi Jiang

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引用次数: 0

摘要

本文检验了市场投机者使用杠杆可以增加资产价格崩溃的可能性和幅度的假设。利用美国公开文件的直接杠杆度量，我发现(1)高杠杆对冲基金持有的股票随后比低杠杆对冲基金持有的股票有更多的负偏收益，(2)在极度负的收益意外或资金流动性冲击下，高杠杆基金持有的股票表现出异常的价格下跌和随后的反转。与甩卖和传染假说一致，高杠杆基金倾向于在股票出现负面消息后减持，这种抛售可以扩展到投资组合中的其他股票，增加他们持有的股票的崩盘倾向。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Leveraged Speculators and Asset Prices

Abstract I test the hypothesis that the use of leverage by market speculators can increase the likelihood and magnitude of crashes in asset prices. Using a direct leverage measure derived from U.S. public filings, I find that (1) stocks held by highly leveraged hedge funds subsequently have more negatively skewed returns than stocks held by less leveraged funds, and (2) upon extremely negative earnings surprises or funding liquidity shocks, stocks owned by high-leverage funds exhibit abnormal price declines and subsequent reversal. Consistent with the fire-sale and contagion hypothesis, high-leverage funds tend to reduce the position following negative news about a stock, and such selling can extend to other stocks in the portfolio, increasing the crash-proneness of the stocks they hold.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.