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• W3016488891 abstract "When investors anticipate the Fed increasing margin requirements, they bid up the riskier stocks in the long legs of hedge portfolios associated with the market, HML, and SMB factors relative to the less risky stocks in the short legs. Following such a policy change, the returns on these hedge portfolios decline, implying lower subsequent compensation for bearing the risk associated with these three factors. In contrast, margin requirements are unrelated to returns on the momentum factor. Our evidence suggests that investors adjust their risk exposures to the market, SMB, and HML factors when leverage constraints are changed, but not momentum." @default.
• W3016488891 created "2020-04-24" @default.
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• W3016488891 date "2018-01-01" @default.
• W3016488891 modified "2023-09-27" @default.
• W3016488891 title "Margin Requirements and Multifactor Models" @default.
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• W3016488891 doi "https://doi.org/10.2139/ssrn.3286445" @default.
• W3016488891 hasPublicationYear "2018" @default.
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