RYTCHKOV, OLEG - In: Journal of Finance 69 (2014) 1, pp. 405-452
type="main" <title type="main">ABSTRACT</title> <p>This paper provides a novel theoretical analysis of how endogenous time-varying margin requirements affect capital market equilibrium. I find that margin requirements, when there are no other market frictions, reduce the volatility and correlation of returns as well as the...</p>