Asset Pricing and the Credit Market

• 成果类型: Article
• 署名作者: Longstaff, Francis A.; Wang, Jiang
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs086
• 发表日期: 2012
• 页码: 3169
• 关键词: equity premium; trading volume; stock-prices; consumption; equilibrium; earnings; returns; follow

摘要

This article studies the central role of the credit market. We show that the credit market facilitates optimal risk sharing by allowing less risk-averse investors to take on levered positions and consume more risk. The equilibrium amount behaves procyclically when aggregate consumption is low but countercyclically when it is high. The varying size of the credit market modifies the amount of risk sharing, which in turn influences asset prices such as expected stock returns, stock return volatility, and the term structure of interest rates. Our article provides a frictionless benchmark for the role and the behavior of the credit market.