Publikation: Funding Illiquidity Implied by S&P 500 Derivatives
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2024
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Risks. MDPI AG. 2024, 12(9), 149. eISSN 2227-9091. Verfügbar unter: doi: 10.3390/risks12090149
Zusammenfassung
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.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
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funding illiquidity, hedge funds, risk premium, return prediction
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GOLEZ, Benjamin, Jens JACKWERTH, Anna SLAVUTSKAYA, 2024. Funding Illiquidity Implied by S&P 500 Derivatives. In: Risks. MDPI AG. 2024, 12(9), 149. eISSN 2227-9091. Verfügbar unter: doi: 10.3390/risks12090149BibTex
@article{Golez2024-09-18Fundi-70967,
year={2024},
doi={10.3390/risks12090149},
title={Funding Illiquidity Implied by S&P 500 Derivatives},
number={9},
volume={12},
journal={Risks},
author={Golez, Benjamin and Jackwerth, Jens and Slavutskaya, Anna},
note={Article Number: 149}
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