| 简介： | In this study we construct an aggregate market leverage measure based on monthly open interests and total cash balance on all the fututes margin accounts monitored by CFTC. We examine what are the determinants of our market leverage measure, and whether this leverage measure is a state variable for asset pricing. We show that the time-series variation of market leverage can be explained by the change of market liquidity, market volatility, funding liquidity, and past stock market performance. We then find that the average return on stocks with high sensitivity to unexpected change of market leverage exceeds that for stocks with low sensitivity by about 5-6% annually, adjusted for exposure to the market return as well as size, value, and momentum factors. |