全球智库信息集成服务系统(G2TT): Do Intermediaries Matter for Aggregate Asset Prices?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28692
来源ID	Working Paper 28692
	Do Intermediaries Matter for Aggregate Asset Prices?
	Valentin Haddad; Tyler Muir
发表日期	2021-04-19
出版年	2021
语种	英语
摘要	Poor financial health of intermediaries coincides with low asset prices and high risk premiums. Is this because intermediaries matter for asset prices, or simply because their health correlates with economy-wide risk aversion? In the first case, return predictability should be more pronounced for asset classes in which households are less active. We provide evidence supporting this prediction, suggesting that a quantitatively sizable fraction of risk premium variation in several large asset classes such as credit or MBS is due to intermediaries. Movements in economy-wide risk aversion create the opposite pattern, and we find this channel also matters.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w28692
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/586364
推荐引用方式 GB/T 7714	Valentin Haddad,Tyler Muir. Do Intermediaries Matter for Aggregate Asset Prices?. 2021.