| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11466 |
| DP11466 Dynamic Leverage Asset Pricing | |
| Tobias Adrian; Hyun Song Shin | |
| 发表日期 | 2016-08-27 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We empirically investigate the predictions from alternative intermediary asset pricing theories. Exposure to broker-dealer book leverage commands a positive price of risk while high levels of broker-dealer leverage are associated with low future returns. In contrast, exposure to broker-dealer book equity relative to total wealth earns a negative price of risk and high broker-dealer equity predicts higher future returns. Measures of intermediary market equity yield opposite signs but are not robust to the inclusion of common risk factors. We conclude that there is strong support for models with leverage constraints as opposed to net worth constraints as the relevant friction. |
| 主题 | Financial Economics |
| 关键词 | Leverage cycles Intermediary asset pricing Macro-finance |
| URL | https://cepr.org/publications/dp11466-1 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540280 |
| 推荐引用方式 GB/T 7714 | Tobias Adrian,Hyun Song Shin. DP11466 Dynamic Leverage Asset Pricing. 2016. |
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