Intermediaries and Asset Prices: International Evidence since 1870

• 成果类型: Article
• 署名作者: Baron, Matthew; Muir, Tyler
• 署名单位: Cornell University; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab077
• 发表日期: 2022
• 页码: 2144
• 关键词: macroeconomic model; cross-section; STOCK; leverage; tests

摘要

We study data on commercial banks and securities firms across multiple countries since 1870. Balance sheet expansion of leveraged intermediaries negatively predicts returns of stocks, bonds, currencies, and housing. The predictability is stronger at shorter horizons, is robust to macroeconomic controls, and holds outside distress periods, in contrast to models featuring nonlinearities during distress. Intermediaries in global financial centers predict international equity returns. A new data set on individual stock holdings of Japanese intermediaries since 1955 shows intermediaries affect returns of stocks directly held. Our results suggest a strong universal link between intermediaries and asset returns distinct from macroeconomic channels.