Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price
NBER Working Paper No. 26773
---- Acknowledgments ----
We thank Jules van Binsbergen, Thomas Bonczek,Will Diamond, Darrell Duffie, Gary Gorton, Ronen Israel, Michael Katz, Toomas Laarits, Kristoffer Laursen, Ari Levine, Paul Leyzerovich, Lasse Pedersen, Christopher Polk (discussant), Ashwin Thapar, Tuomo Vuolteenaho, Chen Wang, Franklin Wang and seminar participants at AQR Capital Management, Yale SOM, and the 2019 American Finance Association Conference meetings in Atlanta for helpful comments and suggestions. A previous version of this paper was circulated with the title “Beyond Basis Basics: Leverage Demand and Deviations from the Law of One Price.” AQR Capital is a global asset manager who may or may not use the insights and methods in this paper. The views expressed here are those of the authors and not necessarily those of AQR, nor of the National Bureau of Economic Research.