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Angelo Ranaldo
Title
Prof. Dr.
Last Name
Ranaldo
First name
Angelo
Email
angelo.ranaldo@unisg.ch
Phone
+41 71 224 7010
RePec
http://ideas.repec.org/e/pra161.html
SSRN
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=253421
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PublicationSafe Asset Carry TradeWe provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). Based on the temporal and cross-sectional variation in short-term rates, we form a carry that, together with a market factor, prices these near-money assets in a linear pricing model. The carry depicts heterogeneity in nonpecuniary convenience yields of collateral assets and increases in the safety premium and the liquidity premium reflecting opportunity cost. Our carry helps explain the cross-section of short-term rates, as well as of long-term bond returns after accounting for standard bond pricing factors. (JEL E40, E41, G00, G01, G10, G11). 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.Type: journal articleJournal: Review of Asset Pricing Studies
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