Margin Requirements and the Security Market Line

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en Jylhä, Petri 2018-12-10T10:30:05Z 2018-12-10T10:30:05Z 2018
dc.identifier.citation Jylhä , P 2018 , ' Margin Requirements and the Security Market Line ' Journal of Finance , vol. 73 , no. 3 , pp. 1281-1321 . DOI: 10.1111/jofi.12616 en
dc.identifier.issn 0022-1082
dc.identifier.other PURE UUID: c8336de1-bcad-4e2b-b19c-5d0ff4b7475f
dc.identifier.other PURE ITEMURL:
dc.identifier.other PURE LINK:
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dc.description.abstract Between 1934 and 1974, the Federal Reserve changed the initial margin requirement for the U.S. stock market 22 times. I use this variation to show that investors' leverage constraints affect the pricing of risk. Consistent with earlier theoretical predictions, I find that tighter leverage constraints result in a flatter relation between betas and expected returns. My results provide strong empirical support for the idea that the constraints investors face may help explain the empirical failure of the capital asset pricing model. en
dc.format.extent 41
dc.format.extent 1281-1321
dc.format.mimetype application/pdf
dc.language.iso en en
dc.relation.ispartofseries Journal of Finance en
dc.relation.ispartofseries Volume 73, issue 3 en
dc.rights openAccess en
dc.subject.other Accounting en
dc.subject.other Finance en
dc.subject.other Economics and Econometrics en
dc.subject.other 512 Business and management en
dc.title Margin Requirements and the Security Market Line en
dc.type A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä fi
dc.description.version Peer reviewed en
dc.contributor.department Department of Finance
dc.subject.keyword Accounting
dc.subject.keyword Finance
dc.subject.keyword Economics and Econometrics
dc.subject.keyword 512 Business and management
dc.identifier.urn URN:NBN:fi:aalto-201812106282
dc.identifier.doi 10.1111/jofi.12616
dc.type.version acceptedVersion

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