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Leverage Is a Double-Edged Sword
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AI
DOI：10.1111/jofi.13316.png)
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摘要
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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.
Keyword:
CROSS-SECTION
PERFORMANCE
LIQUIDITY
OVERCONFIDENCE
VOLATILITY
STOCKS
期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
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