Investor Demand for Leverage: Evidence from Equity Closed-End Funds
研究发现受杠杆约束的投资者愿意为杠杆本身支付溢价，通过股票封闭式基金市场数据证实杠杆与基金溢价正相关，且杠杆变化不预示业绩改善，仅增加波动和风险暴露。
Abstract We provide evidence that investors with leverage constraints demand leverage for the sake of leverage. We study the equity closed-end fund (CEF) market and document a strong positive relation between fund leverage and CEF premiums, indicating that investors pay a relative premium for leverage. We perform a quasi-natural experiment and identify leverage as a causal driver of the premium. Leverage changes do not signal improved fund performance. Instead, the only benefit to investors of increased leverage is amplified exposure via greater volatility and risk exposure. We supply external validity by relating our results to the betting-against-beta factor.