Using the most comprehensive data set of leveraged funds known to the literature, we measure the market‐wide shadow cost of leverage constraints and examine its pricing implications. The shadow cost averages 0.53% per annum from 2006 to 2016, spikes upon quarter‐ends when banks face tighter capital requirements, positively predicts future betting‐against‐beta (BAB) returns, and negatively correlates with contemporaneous BAB returns. Stocks that experience lower returns when the shadow cost increases earn 0.85% more per month. Overall, our shadow cost measure fits the predictions of leverage‐constraint‐based theories better than the widely used TED spread.

中文翻译：

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杠杆基金和杠杆约束的影子成本

使用文献中已知的最全面的杠杆基金数据集，我们可以衡量杠杆约束在市场范围内的影子成本，并研究其定价含义。从2006年到2016年，影子成本平均每年为0.53％，当银行面临更严格的资本要求时，其季度末会飙升，对未来的对抗beta（BAB）收益有积极的预测，并且与同时期的BAB收益呈负相关。当影子成本增加时，收益较低的股票每月可多赚0.85％。总体而言，与广泛使用的TED利差相比，我们的影子成本度量更适合基于杠杆约束的理论的预测。