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  1. Safe asset carry trade
    Autor*in: Ballensiefen, Benedikt; Ranaldo, Angelo
    Erschienen: July 18, 2019
    Verlag:  School of Finance, University of St. Gallen, St. Gallen

    We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor,... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 314
    Fernleihe:
    keine Fernleihe

     

    We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor, together with a market factor explain the temporal and cross-sectional variation in repo rates within a no-arbitrage framework: While the market factor determines the level of short-term interest rates, the carry factor accounts for the cross-sectional dispersion. Consistent with the safe asset literature, the carry factor reflects heterogeneity in convenience premia and is explained by the safety premium, the liquidity premium, and the opportunity cost of holding money.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: First draft: July 18, 2019
    Schriftenreihe: Working papers on finance ; no. 2019, 09
    Schlagworte: Safe Asset; Repo; Asset Pricing; Convenience Premium; Bond Pricing
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen