Matches in SemOpenAlex for { <https://semopenalex.org/work/W3149305855> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W3149305855 abstract "In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns are characterized both by their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities. Such a funding-liquidity crisis gives rise to bases, that is, price gaps between securities with identical cash-flows but different margins. In the time series, bases depend on the shadow cost of capital, which can be captured through the interest-rate spread between collateralized and uncollateralized loans, and, in the cross section, they depend on relative margins. We test the model empirically using the CDS-bond bases and other deviations from the Law of One Price, and use it to evaluate central banks' lending facilities." @default.
- W3149305855 created "2021-04-13" @default.
- W3149305855 creator A5022954104 @default.
- W3149305855 creator A5024775076 @default.
- W3149305855 date "2011-02-01" @default.
- W3149305855 modified "2023-09-23" @default.
- W3149305855 title "Margin-Based Asset Pricing and Deviations from the Law of One Price" @default.
- W3149305855 hasPublicationYear "2011" @default.
- W3149305855 type Work @default.
- W3149305855 sameAs 3149305855 @default.
- W3149305855 citedByCount "0" @default.
- W3149305855 crossrefType "posted-content" @default.
- W3149305855 hasAuthorship W3149305855A5022954104 @default.
- W3149305855 hasAuthorship W3149305855A5024775076 @default.
- W3149305855 hasConcept C10138342 @default.
- W3149305855 hasConcept C106159729 @default.
- W3149305855 hasConcept C119857082 @default.
- W3149305855 hasConcept C139938925 @default.
- W3149305855 hasConcept C149782125 @default.
- W3149305855 hasConcept C151541453 @default.
- W3149305855 hasConcept C162324750 @default.
- W3149305855 hasConcept C181236170 @default.
- W3149305855 hasConcept C183582576 @default.
- W3149305855 hasConcept C189259953 @default.
- W3149305855 hasConcept C2777871818 @default.
- W3149305855 hasConcept C2777910564 @default.
- W3149305855 hasConcept C2780821815 @default.
- W3149305855 hasConcept C38652104 @default.
- W3149305855 hasConcept C41008148 @default.
- W3149305855 hasConcept C556758197 @default.
- W3149305855 hasConcept C69738904 @default.
- W3149305855 hasConcept C76178495 @default.
- W3149305855 hasConcept C774472 @default.
- W3149305855 hasConcept C86537402 @default.
- W3149305855 hasConceptScore W3149305855C10138342 @default.
- W3149305855 hasConceptScore W3149305855C106159729 @default.
- W3149305855 hasConceptScore W3149305855C119857082 @default.
- W3149305855 hasConceptScore W3149305855C139938925 @default.
- W3149305855 hasConceptScore W3149305855C149782125 @default.
- W3149305855 hasConceptScore W3149305855C151541453 @default.
- W3149305855 hasConceptScore W3149305855C162324750 @default.
- W3149305855 hasConceptScore W3149305855C181236170 @default.
- W3149305855 hasConceptScore W3149305855C183582576 @default.
- W3149305855 hasConceptScore W3149305855C189259953 @default.
- W3149305855 hasConceptScore W3149305855C2777871818 @default.
- W3149305855 hasConceptScore W3149305855C2777910564 @default.
- W3149305855 hasConceptScore W3149305855C2780821815 @default.
- W3149305855 hasConceptScore W3149305855C38652104 @default.
- W3149305855 hasConceptScore W3149305855C41008148 @default.
- W3149305855 hasConceptScore W3149305855C556758197 @default.
- W3149305855 hasConceptScore W3149305855C69738904 @default.
- W3149305855 hasConceptScore W3149305855C76178495 @default.
- W3149305855 hasConceptScore W3149305855C774472 @default.
- W3149305855 hasConceptScore W3149305855C86537402 @default.
- W3149305855 hasOpenAccess W3149305855 @default.
- W3149305855 hasRelatedWork W1575799774 @default.
- W3149305855 hasRelatedWork W2005628905 @default.
- W3149305855 hasRelatedWork W2161286290 @default.
- W3149305855 hasRelatedWork W2184506723 @default.
- W3149305855 hasRelatedWork W2227413452 @default.
- W3149305855 hasRelatedWork W2298627891 @default.
- W3149305855 hasRelatedWork W2605378299 @default.
- W3149305855 hasRelatedWork W2776964488 @default.
- W3149305855 hasRelatedWork W2788562035 @default.
- W3149305855 hasRelatedWork W293830829 @default.
- W3149305855 hasRelatedWork W2939978855 @default.
- W3149305855 hasRelatedWork W3087818026 @default.
- W3149305855 hasRelatedWork W3121894195 @default.
- W3149305855 hasRelatedWork W3122464980 @default.
- W3149305855 hasRelatedWork W3124099220 @default.
- W3149305855 hasRelatedWork W3125948322 @default.
- W3149305855 hasRelatedWork W3126037098 @default.
- W3149305855 hasRelatedWork W3134099076 @default.
- W3149305855 hasRelatedWork W3148152789 @default.
- W3149305855 hasRelatedWork W3200489569 @default.
- W3149305855 isParatext "false" @default.
- W3149305855 isRetracted "false" @default.
- W3149305855 magId "3149305855" @default.
- W3149305855 workType "article" @default.