Heterogeneous intermediary asset pricing

• 成果类型: Article
• 署名作者: Kargar, Mahyar
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.012
• 发表日期: 2021
• 页码: 505-532
• 关键词: Intermediary asset pricing; Heterogeneous intermediaries; leverage; financial frictions

摘要

I show that the composition of the financial sector has important asset pricing implications beyond the health of the aggregate financial sector. To assess the impact of massive balance sheet adjustments within the intermediary sector during the Great Recession and resolve conflicting asset pricing evidence, I propose a dynamic asset pricing model with heterogeneous intermediaries facing financial frictions. Asset flows between intermediaries are quantitatively important for both the level of and variation in the risk premium. An empirical measure of the composition of the intermediary sector negatively forecasts future excess returns and is priced in the cross-section with a positive price of risk. (c) 2021 Elsevier B.V. All rights reserved.