Speaker: Yang Xuewei, Professor, Doctoral Supervisor, Nanjing University

Date: November 24, 2022

Time: 14:30-15:30

Location: Tencent Meeting

Sponsor: School of Economics, Shandong University

Abstract:

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, in part due to forced liquidations resulting from margin calls. We measure skill during a training period, and analyze the interaction between skill and leverage out of sample. Unskilled investors' leverage amplifies losses from lottery preferences and the disposition effect. Leverage stimulates de facto liquidity provision by skilled investors, and enhances their returns. Although regulatory increases in required margins slightly decrease skilled investors' returns, they enhance overall returns, and attenuate return volatility. This is a joint work with Avanidhar Subrahmanyam (UCLA), Ke Tang (Tsinghua U), and Jingyuan Wang (Beihang U).

For more information, please visit:

https://www.view.sdu.edu.cn/info/1020/172912.htm