Leverage Is a Double‐Edged Sword
利用期货经纪公司的日内交易数据，分析隐含杠杆如何影响交易绩效，发现杠杆对无技能投资者放大损失，但对有技能投资者提升收益，并影响市场流动性。
ABSTRACT We use proprietary data on intraday transactions at a futures brokerage to analyze how implied leverage influences trading performance. Across all investors, leverage is negatively related to performance, due partly to increased trading costs and partly to forced liquidations resulting from margin calls. Defining skill out‐of‐sample, we find that relative performance differentials across unskilled and skilled investors persist. Unskilled investors' leverage amplifies losses from lottery preferences and the disposition effect. Leverage stimulates liquidity provision by skilled investors, and enhances returns. Although regulatory increases in required margins decrease skilled investors' returns, they enhance overall returns, and attenuate return volatility.