Are Intermediary Constraints Priced?
研究发现，无套利条件的违背衡量了中介约束的影子成本，而中介资产定价与跨期对冲共同意味着这些约束收紧的风险被定价。通过描述一种“远期CIP交易策略”，该策略押注CIP违背的缩小，其回报有助于识别这种风险的价格，且该风险在不同资产类别中一致被定价。
Abstract Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a “forward CIP trading strategy” that bets on CIP violations shrinking and show that its returns help identify the price of this risk. This strategy yields the highest returns for currency pairs associated with the carry trade. The strategy’s risk substantially contributes to the volatility of the stochastic discount factor, is correlated with both other near-arbitrages and intermediary wealth measures, and appears to be consistently priced across various asset classes. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.