cam a22 4500 569193184 20191016030313.0 cr unu---uuuuu 190724e20190718xx s 000 0 ger (ALEXREPO)oai:www.alexandria.unisg.ch:257401 Ballensiefen Benedikt Safe Asset Carry Trade [Elektronische Daten] [Benedikt Ballensiefen, Angelo Ranaldo] [S.l.] [s.n.] 2019 We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor, together with a market factor explain the temporal and cross-sectional variation in repo rates within a no-arbitrage framework: While the market factor determines the level of short-term interest rates, the carry factor accounts for the cross-sectional dispersion. Consistent with the safe asset literature, the carry factor reflects heterogeneity in convenience premia and is explained by the safety premium, the liquiditypremium, and the opportunity cost of holding money. finance alexrepo Ranaldo Angelo joint author https://www.alexandria.unisg.ch/257401/3/19_09_Ballensiefen%20et%20al_Safe%20Asset%20Carry%20Trade.pdf text/html WWW-Backlink auf das Repository Onlinezugriff via WWW text/html https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3425892 ALEXREPO 1 Monograph alexrepo NonPeerReviewed alexrepo peerstatus ALEXREPO 856 40 https://www.alexandria.unisg.ch/257401/3/19_09_Ballensiefen%20et%20al_Safe%20Asset%20Carry%20Trade.pdf text/html WWW-Backlink auf das Repository ALEXREPO 856 42 Onlinezugriff via WWW text/html https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3425892 ALEXREPO 100 1- Ballensiefen Benedikt ALEXREPO 700 1- Ranaldo Angelo joint author BK020053 XK020053 XK020000 ALEXREPO ALEXREPO ALEXREPO Monograph