Dam, Robert; Davies, Shaun William; Moon, S. Katie - In: Review of asset pricing studies : RAPS 14 (2024) 1, pp. 1-39
We provide evidence that investors with leverage constraints demand leverage for the sake of leverage. We study the equity closed-end fund (CEF) market and document a strong positive relation between fund leverage and CEF premiums, indicating that investors pay a relative premium for leverage....