Funding Illiquidity Implied by S&P 500 Derivatives

Golez, Benjamin; Jackwerth, Jens; Slavutskaya, Anna

Funding Illiquidity Implied by S&P 500 Derivatives

Dateien

Golez_2-tzn0gbo4fo74.pdfGröße: 1.01 MBDownloads: 11

Datum

2024

Autor:innen

Golez, Benjamin

Jackwerth, Jens

Slavutskaya, Anna

Open Access-Veröffentlichung

Open Access Gold

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

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.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

funding illiquidity, hedge funds, risk premium, return prediction

Zitieren

ISO 690

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/risks12090149

BibTex

@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}
}

RDF

<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/70967">
    <dc:creator>Golez, Benjamin</dc:creator>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2024-10-14T09:35:12Z</dcterms:available>
    <dc:contributor>Slavutskaya, Anna</dc:contributor>
    <dcterms:abstract>Based on the typical positions of S&amp;P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&amp;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.</dcterms:abstract>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:title>Funding Illiquidity Implied by S&amp;P 500 Derivatives</dcterms:title>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2024-10-14T09:35:12Z</dc:date>
    <dc:language>eng</dc:language>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:creator>Slavutskaya, Anna</dc:creator>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/70967"/>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/70967/1/Golez_2-tzn0gbo4fo74.pdf"/>
    <dc:contributor>Jackwerth, Jens</dc:contributor>
    <dcterms:issued>2024-09-18</dcterms:issued>
    <dc:creator>Jackwerth, Jens</dc:creator>
    <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by/4.0/"/>
    <dc:rights>Attribution 4.0 International</dc:rights>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/70967/1/Golez_2-tzn0gbo4fo74.pdf"/>
    <dc:contributor>Golez, Benjamin</dc:contributor>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
  </rdf:Description>
</rdf:RDF>

Begutachtet

Ja