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| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
0304-405X |
| 245 ## - TITLE STATEMENT |
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| Title |
Leverage constraints and asset prices: Insights from mutual fund risk taking / by Oliver Boguth, Mikhail Simutin |
| Statement of responsibility, etc |
Oliver Boguth & Mikhail Simutin |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Amsterdam |
| Name of publisher, distributor, etc |
Elsevier |
| Date of publication, distribution, etc |
February 2018 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
Pages 325-341 |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
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| Title |
Journal of Financial Economics |
| Volume number/sequential designation |
127 (2) |
| International Standard Serial Number |
0304-405X |
| 500 ## - GENERAL NOTE |
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| General note |
Abstract
Prior theory suggests that time variation in the degree to which leverage constraints bind affects the pricing kernel. We propose a measure for this leverage constraint tightness by inverting the argument that constrained investors tilt their portfolios to riskier assets. We show that the average market beta of actively managed mutual funds—intermediaries facing leverage restrictions—captures their desire for leverage and thus the tightness of constraints. Consistent with theory, it strongly predicts returns of the betting-against-beta portfolio, and is a priced risk factor in the cross-section of mutual funds and stocks. Funds with low exposure to the factor outperform high-exposure funds by 5% annually, and for stocks this difference reaches 7%. Our results show that the tightness of leverage constraints has important implications for asset prices. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
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| Topical term or geographic name as entry element |
Leverage constraints |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
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| Topical term or geographic name as entry element |
Asset prices |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
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| Topical term or geographic name as entry element |
Betting-against-beta |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
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| Topical term or geographic name as entry element |
Mutual fund performance |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) |
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| Topical term or geographic name as entry element |
Cross-section of stock returns |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
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| Item type |
Periodicals |