Embedded Leverage
研究了期权和杠杆ETF等金融工具中的嵌入式杠杆如何缓解投资者的杠杆约束，并发现嵌入式杠杆会降低风险调整后的收益，对理解金融资产定价有重要意义。
Abstract Many financial instruments are designed with embedded leverage, such as options and leveraged exchange-traded funds (ETFs). Embedded leverage alleviates investors’ leverage constraints, and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis, we find empirically that options and leveraged ETFs provide significant amounts of embedded leverage; this embedded leverage increases return volatility in proportion to the embedded leverage; and higher embedded leverage is associated with lower risk-adjusted returns. The results are statistically and economically significant, and we provide extensive robustness tests and discuss the broader implications of embedded leverage for financial economics.