Regional Mc parity: do common pricing points reduce deviations from the law of one price?
نویسندگان
چکیده
منابع مشابه
Margin-Based Asset Pricing and Deviations from the Law of One Price
In a model with multiple agents with different risk aversions facing margin constraints, we show how securities’ required returns are characterized both by their beta and their margins. 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 ...
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ژورنال
عنوان ژورنال: Review of World Economics
سال: 2009
ISSN: 1610-2878,1610-2886
DOI: 10.1007/s10290-009-0005-6