Do Intermediaries Matter for Aggregate Asset Prices?

• 成果类型: Article
• 署名作者: Haddad, Valentin; Muir, Tyler
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13086
• 发表日期: 2021
• 页码: 2719-2761
• 关键词: STOCK RETURNS; risk premia; consumption; arbitrage; deviations; liquidity; demand

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 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 mortgage-backed securities (MBS) is due to intermediaries. Movements in economy-wide risk aversion create the opposite pattern, and we find this channel also matters.