| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21920 |
| 来源ID | Working Paper 21920 |
| Intermediary Asset Pricing: New Evidence from Many Asset Classes | |
| Zhiguo He; Bryan Kelly; Asaf Manela | |
| 发表日期 | 2016-01-25 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer counterparties of the New York Federal Reserve—possess significant explanatory power for crosssectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital shocks is consistently positive and of similar magnitude when estimated separately for individual asset classes, suggesting that financial intermediaries are marginal investors in many markets and hence key to understanding asset prices. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w21920 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579595 |
| 推荐引用方式 GB/T 7714 | Zhiguo He,Bryan Kelly,Asaf Manela. Intermediary Asset Pricing: New Evidence from Many Asset Classes. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w21920.pdf（729KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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