标准普尔 500 指数衍生品隐含的资金流动性不足问题

IF 2 Q2 BUSINESS, FINANCE
Risks Pub Date : 2024-09-18 DOI:10.3390/risks12090149
Benjamin Golez, Jens Jackwerth, Anna Slavutskaya
{"title":"标准普尔 500 指数衍生品隐含的资金流动性不足问题","authors":"Benjamin Golez, Jens Jackwerth, Anna Slavutskaya","doi":"10.3390/risks12090149","DOIUrl":null,"url":null,"abstract":"Based on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds with negative exposure to changes in funding illiquidity earn high returns in normal times and low returns in crisis periods when funding liquidity deteriorates. The results are not driven by existing measures of funding illiquidity, market illiquidity, and proxies for tail risk. Our funding illiquidity measure also affects leveraged closed-end mutual funds and, to an extent, asset classes where leveraged investors are marginal investors.","PeriodicalId":21282,"journal":{"name":"Risks","volume":null,"pages":null},"PeriodicalIF":2.0000,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Funding Illiquidity Implied by S&P 500 Derivatives\",\"authors\":\"Benjamin Golez, Jens Jackwerth, Anna Slavutskaya\",\"doi\":\"10.3390/risks12090149\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Based on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds with negative exposure to changes in funding illiquidity earn high returns in normal times and low returns in crisis periods when funding liquidity deteriorates. The results are not driven by existing measures of funding illiquidity, market illiquidity, and proxies for tail risk. Our funding illiquidity measure also affects leveraged closed-end mutual funds and, to an extent, asset classes where leveraged investors are marginal investors.\",\"PeriodicalId\":21282,\"journal\":{\"name\":\"Risks\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2024-09-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risks\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3390/risks12090149\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risks","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3390/risks12090149","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

摘要

根据标准普尔 500 指数期权做市商的典型头寸,我们从标准普尔 500 指数衍生品的报价中得出了一个资金流动性指标。我们的衡量方法对杠杆管理投资组合的收益有重大影响;对资金流动性变化有负面影响的对冲基金在正常时期会获得高收益,而在资金流动性恶化的危机时期则会获得低收益。现有的资金流动性不足、市场流动性不足和尾部风险替代指标都无法得出上述结果。我们的资金非流动性衡量方法也会影响杠杆封闭式共同基金,并在一定程度上影响杠杆投资者属于边缘投资者的资产类别。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Funding Illiquidity Implied by S&P 500 Derivatives
Based on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds with negative exposure to changes in funding illiquidity earn high returns in normal times and low returns in crisis periods when funding liquidity deteriorates. The results are not driven by existing measures of funding illiquidity, market illiquidity, and proxies for tail risk. Our funding illiquidity measure also affects leveraged closed-end mutual funds and, to an extent, asset classes where leveraged investors are marginal investors.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Risks
Risks Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
3.80
自引率
22.70%
发文量
205
审稿时长
11 weeks
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信