G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w28692
来源IDWorking 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
URLhttps://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.
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
w28692.pdf(698KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Valentin Haddad]的文章
[Tyler Muir]的文章
百度学术
百度学术中相似的文章
[Valentin Haddad]的文章
[Tyler Muir]的文章
必应学术
必应学术中相似的文章
[Valentin Haddad]的文章
[Tyler Muir]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w28692.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。