Inferring Intermediary Risk Exposure from Trade
提出基于交易商间交易占比的中介风险暴露度量指标，发现该指标能预测国债、外汇等五个市场的超额收益，例如国债IDT指标每增加一个标准差，五年期债券年超额收益提高1.8%。
We propose a novel measure of intermediary risk exposure based on the fraction of all trade that is conducted between dealers, called the interdealer trade (IDT) measure. Intuitively, when dealers’ aggregate risk exposure rises, they trade more with each other to redistribute inventory shocks. Consistent with risk exposures relating to expected returns, market-specific IDT measures add incremental return predictability across five different markets. For example, one-standard-deviation increases in the Treasury and foreign exchange (FX) IDT measures, respectively, forecast a 1.8% higher annual excess return on a five-year bond and a 3.7% higher annual excess return on currency-specific FX trades. This paper was accepted by David Sraer, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2021.01831 .