Golez, Benjamin; Jackwerth, Jens Carsten; Slavutskaya, Anna - In: Risks : open access journal 12 (2024) 9, pp. 1-33
Based on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted … 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 …