Are Intermediary Constraints Priced?
Are Intermediary Constraints Priced?
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DOI：
10.3386/w26009
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发表时间：
2019-06
期刊：
影响因子：
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通讯作者：
Wenxin Du;Benjamin Hébert;Amy Wang
中科院分区：
文献类型：
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作者：
Wenxin Du;Benjamin Hébert;Amy Wang
违反无套利条件衡量的是中介约束的影子成本。中介资产定价和跨期对冲共同意味着，这些约束收紧的风险已被定价。我们描述了一种“远期CIP交易策略”，它押注于CIP违规行为的减少，并表明其回报有助于识别这种风险的价格。这一策略为与套利交易相关的货币对带来了最高的回报。该策略的风险在很大程度上导致了随机贴现因子的波动性，与其他准套利和中间财富衡量指标都相关，而且似乎在各种资产类别中的定价是一致的。
Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a “forward CIP trading strategy” that bets on CIP violations shrinking and show that its returns help identify the price of this risk. This strategy yields the highest returns for currency pairs associated with the carry trade. The strategy’s risk substantially contributes to the volatility of the stochastic discount factor, is correlated with both other near-arbitrages and intermediary wealth measures, and appears to be consistently priced across various asset classes.