Dealer Funding Costs : Implications for the Term Structure of Dividend Risk Premia

I show how funding costs to derivatives dealers' shareholders for carrying and hedging inventory affect mid-market derivatives prices. An implication is that some supposed "no-arbitrage" pricing relationships, such as put-call parity, frequently break down. I also explore the implications for measuring the term structure of S&P 500 dividend risk premia

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Year of publication:	2017
Authors:	Song, Yang
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Dividende \| Dividend \| Zinsstruktur \| Yield curve \| Risikoprämie \| Risk premium \| Rentenmarkt \| Bond market \| Kapitaleinkommen \| Capital income \| Theorie \| Theory \| Großbritannien \| United Kingdom
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]