Asset Pricing with Dynamic Margin Constraints
理论分析内生时变保证金要求如何影响资本市场均衡，发现保证金要求降低收益波动和相关性，但提高风险价格、风险溢价和风险资产价格，并强调一般均衡分析可能推翻局部均衡结论。
ABSTRACT This paper provides a novel theoretical analysis of how endogenous time‐varying margin requirements affect capital market equilibrium. I find that margin requirements, when there are no other market frictions, reduce the volatility and correlation of returns as well as the risk‐free rate, but increase the market price of risk, the risk premium, and the price of risky assets. Furthermore, margin requirements generate a strong cross‐sectional dispersion of stock return volatilities. The results emphasize that a general equilibrium analysis may reverse the conclusions of a partial equilibrium analysis often employed in the literature.