Safe Asset Carry Trade
Series
School of Finance Workingpaper Series
Type
working paper
Date Issued
2019-07-18
Author(s)
Abstract
We provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). A standard factor model with a market and a carry factor prices these near-money assets. While the market factor determines the short-term interest rate level, the carry factor accounts for their cross-sectional dispersion. Consistent with the safe asset literature, the carry factor depicts heterogeneity in convenience yield and increases in safety premium and liquidity premium reflecting
asset scarcity and opportunity cost. Our carry factor helps explain the cross-section of long-term bond returns after accounting for standard bond pricing factors.
asset scarcity and opportunity cost. Our carry factor helps explain the cross-section of long-term bond returns after accounting for standard bond pricing factors.
Language
English
Keywords
Safe Asset
Repo
Asset Pricing
Convenience Premium
Bond Pricing.
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Volume
2019
Number
09
Pages
63
Subject(s)
Eprints ID
257401
File(s)![Thumbnail Image]()
open.access
Name
2019_09_Ballensiefen et al_Safe Asset Carry Trade_Update 2 2022.pdf
Size
1.58 MB
Format
Adobe PDF
Checksum (MD5)
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