We provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). Based on the temporal and cross-sectional variation in short-term rates, we form a carry that, together with a market factor, prices these near-money assets in a linear pricing model. The carry depicts heterogeneity in nonpecuniary convenience yields of collateral assets and increases in the safety premium and the liquidity premium reflecting opportunity cost. Our carry helps explain the cross-section of short-term rates, as well as of long-term bond returns after accounting for standard bond pricing factors.

中文翻译：

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安全资产套利交易

我们首次对主要安全资产类别之一的回购协议 (repo) 进行了系统的资产定价分析。基于短期利率的时间和横截面变化，我们形成套利，与市场因素一起，以线性定价模型对这些近货币资产进行定价。利差描述了抵押资产的非货币便利收益率的异质性，以及反映机会成本的安全溢价和流动性溢价的增加。我们的利差有助于解释短期利率的横截面，以及考虑标准债券定价因素后的长期债券回报。