Intermediary asset pricing: New evidence from many asset classes

• 成果类型: Article
• 署名作者: He, Zhiguo; Kelly, Bryan; Manela, Asaf
• 署名单位: University of Chicago; National Bureau of Economic Research; University of Chicago; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.08.002
• 发表日期: 2017
• 页码: 1-35
• 关键词: Sophisticated asset classes; Primary dealers; Intermediary capital; leverage cycles

摘要

We find that shocks to the equity capital ratio of financial intermediaries Primary Dealer counterparties of the New York Federal Reserve possess significant explanatory power for cross-sectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor is strongly procyclical, implying countercyclical intermediary leverage. The price of risk for intermediary capital shocks is consistently positive and of similar magnitude when estimated separately for individual asset classes, suggesting that financial intermediaries are marginal investors in many markets and hence key to understanding asset prices. (C) 2017 Elsevier B.V. All rights reserved.