Publikation: Funding Liquidity Implied by S&P 500 Derivatives
Lade...
Dateien
Datum
2015
Autor:innen
Herausgeber:innen
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
URI (zitierfähiger Link)
Internationale Patentnummer
Link zur Lizenz
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Open Access Green
Sammlungen
Core Facility der Universität Konstanz
Titel in einer weiteren Sprache
Publikationstyp
Working Paper/Technical Report
Publikationsstatus
Published
Erschienen in
Zusammenfassung
We derive a funding liquidity measure based on synthetic borrowing in the S&P 500 derivative markets. Our measure captures funding constraints of option liquidity providers and affects importantly the returns of leveraged managed portfolios. Hedge funds with negative exposure to changes in the funding liquidity earn high returns in normal times and low returns in crises periods when funding liquidity deteriorates. The results are not driven by the existing measures of funding or market liquidity. To an extent, our funding liquidity measure also affects leveraged closed-end mutual funds and asset classes where leveraged investors are marginal investors.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
funding liquidity, hedge funds, risk premium, return prediction
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690
GOLEZ, Benjamin, Jens JACKWERTH, Anna SLAVUTSKAYA, 2015. Funding Liquidity Implied by S&P 500 DerivativesBibTex
@techreport{Golez2015Fundi-36309,
year={2015},
title={Funding Liquidity Implied by S&P 500 Derivatives},
author={Golez, Benjamin and Jackwerth, Jens and Slavutskaya, Anna}
}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/123456789/36309">
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
<dc:creator>Slavutskaya, Anna</dc:creator>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/36309/3/Golez_0-377223.pdf"/>
<dc:contributor>Golez, Benjamin</dc:contributor>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-12-13T15:02:10Z</dc:date>
<dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
<dc:creator>Golez, Benjamin</dc:creator>
<dcterms:title>Funding Liquidity Implied by S&P 500 Derivatives</dcterms:title>
<dc:contributor>Slavutskaya, Anna</dc:contributor>
<dcterms:abstract xml:lang="eng">We derive a funding liquidity measure based on synthetic borrowing in the S&P 500 derivative markets. Our measure captures funding constraints of option liquidity providers and affects importantly the returns of leveraged managed portfolios. Hedge funds with negative exposure to changes in the funding liquidity earn high returns in normal times and low returns in crises periods when funding liquidity deteriorates. The results are not driven by the existing measures of funding or market liquidity. To an extent, our funding liquidity measure also affects leveraged closed-end mutual funds and asset classes where leveraged investors are marginal investors.</dcterms:abstract>
<dcterms:issued>2015</dcterms:issued>
<dc:creator>Jackwerth, Jens</dc:creator>
<dc:contributor>Jackwerth, Jens</dc:contributor>
<dc:language>eng</dc:language>
<bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/36309"/>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-12-13T15:02:10Z</dcterms:available>
<dc:rights>terms-of-use</dc:rights>
<dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/36309/3/Golez_0-377223.pdf"/>
</rdf:Description>
</rdf:RDF>Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
