Amy Wang Huber

Amy Wang Huber
PhD Student, Finance
PhD Program Office Graduate School of Business Stanford University 655 Knight Way Stanford, CA 94305

Amy Wang Huber

Research Interests

  • Financial intermediation
  • International asset pricing
  • Macro-finance
  • Structural estimation

Job Market Paper

Lender Preference, Borrower Market Power, and the Effect of RRP

Working Papers

Are Intermediary Constraints Priced?

(Joint with Wenxin Du and Benjamin Hébert) Violations of no-arbitrage conditions measure the shadow cost of constraints on intermediaries, and the risk that these constraints tighten is priced. We demonstrate in an intermediary-based asset pricing model that violations of no-arbitrage such as covered interest rate parity (CIP) violations, along with intermediary wealth returns, can be used to price assets. We describe a “forward CIP trading strategy” that bets on CIP violations becoming smaller, and show that its returns help identify the price of the risk that the shadow cost of intermediary constraints increases. This risk contributes substantially to the volatility of the stochastic discount factor, and appears to be priced consistently in U.S. treasury, emerging market sovereign bond, and foreign exchange portfolios.