A Market-Based Funding Liquidity Measure
从股票收益率中构建一个可交易的融资流动性度量指标，该指标与其他融资流动性代理变量相关，能带来正向风险溢价，且包含市场流动性无法解释的额外信息。
Abstract We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the return spread between two beta-neutral portfolios constructed using stocks with high and low margins, to control for their sensitivity to the aggregate funding shocks. Our measure of funding liquidity is correlated with other funding liquidity proxies. It delivers a positive risk premium that cannot be explained by existing risk factors. A model augmented by our funding liquidity measure has superior pricing performance for various portfolios. Despite evident comovement, this measure contains additional information that is not subsumed by market liquidity. Received March 29, 2017; accepted August 8, 2018 by Editor Wayne Ferson.