Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Hui Chen, Scott Joslin, Sophie X. Ni
We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money S&P 500 put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public investors are likely to be mainly driven by shocks to intermediary constraints. We then infer tightness of intermediary constraints from the quantities of option trading during such periods. A tightening of intermediary constraint according to our measure is associated with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding liquidity, and broker-dealer deleveraging
Year of publication: |
February 2019
|
---|---|
Authors: | Chen, Hui |
Other Persons: | Joslin, Scott (contributor) ; Ni, Sophie X. (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
2019: Cambridge, Mass : National Bureau of Economic Research |
Subject: | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Finanzintermediation | Financial intermediation | Risiko | Risk | Konjunktur | Business cycle | Kapitalmarkttheorie | Financial economics | Börse | Bourse | Schock | Shock |
Saved in:
freely available
Extent: | 1 Online-Ressource illustrations (black and white) |
---|---|
Series: | NBER working paper series ; no. w25573 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | System requirements: Adobe [Acrobat] Reader required for PDF files Mode of access: World Wide Web Hardcopy version available to institutional subscribers |
Other identifiers: | 10.3386/w25573 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012479526
Saved in favorites
Similar items by subject
-
Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Chen, Hui, (2019)
-
Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Chen, Hui, (2019)
-
Demand for crash insurance, intermediary constraints, and risk premia in financial markets
Chen, Hui, (2019)
- More ...
Similar items by person