投资者对杠杆的需求:来自股票封闭式基金的证据

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-07-20 DOI:10.1093/rapstu/raad012

Robert Dam, Shaun William Davies, S Katie Moon

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引用次数: 0

摘要

我们提供的证据表明，受杠杆约束的投资者为了杠杆而需要杠杆。我们研究了股票型封闭式基金(CEF)市场，发现基金杠杆与CEF溢价之间存在很强的正相关关系，表明投资者为杠杆支付相对溢价。我们进行了一个准自然实验，并确定杠杆是溢价的因果驱动因素。杠杆率的变化并不意味着基金业绩有所改善。相反，增加杠杆对投资者的唯一好处是通过更大的波动性和风险敞口扩大了风险敞口。我们通过将我们的结果与反对β因素联系起来来提供外部有效性。(JEL G12, G14, G32)收稿日期:2021年12月5日;编辑决定，2023年2月7日，编辑Jeffrey Pontiff。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

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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Investor Demand for Leverage: Evidence from Equity Closed-End Funds

We provide evidence that investors with leverage constraints demand leverage for the sake of leverage. We study the equity closed-end fund (CEF) market and document a strong positive relation between fund leverage and CEF premiums, indicating that investors pay a relative premium for leverage. We perform a quasi-natural experiment and identify leverage as a causal driver of the premium. Leverage changes do not signal improved fund performance. Instead, the only benefit to investors of increased leverage is amplified exposure via greater volatility and risk exposure. We supply external validity by relating our results to the betting-against-beta factor. (JEL G12, G14, G32) Received December 5, 2021; editorial decision February 7, 2023 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.