Journal of Financial & Quantitative Analysis. Volume 52, Issue 6, December 2017

去杠杆风险

作者：Scott Richardson (London Business School and AQR Capital Management)

Pedro A. C. Saffi（University of Cambridge Judge Business School and CERF）

Kari Sigurdsson（AQR Capital Management）

摘要：去杠杆风险是指投资于杠杆投资者持有的证券导致的风险。当市场面临融资难问题时，由于杠杆投资者面临一个不利的处境，他们投资较多的证券会出现极端收益的情况。利用融券数量作为在某一股票上加杠杆程度的代理指标，我们发现去杠杆风险的确凿证据。高度做空的股票会有较大的超额收益，并且在市场资金不足的时候做空交易会减少。

Deleveraging Risk

Scott Richardson (London Business School and AQR Capital Management), Pedro A. C. Saffi (University of Cambridge Judge Business School and CERF), Kari Sigurdsson (AQR Capital Management)

ABSTRACT

Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors unwind their positions. Using data on equity loans as a proxy for the degree of levered positions in a given stock, we find robust evidence of deleveraging risk. Stocks with a high degree of short selling experience large positive returns and a decrease in short selling around periods of funding capital scarcity.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/deleveraging-risk/4A9B8EEC938F49FB3C75B2B8ED2DE444

翻译：汪国颂