Financial Intermediaries and the Cross-Section of Asset Returns

• 成果类型: Article
• 署名作者: Adrian, Tobias; Etula, Erkko; Muir, Tyler
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - New York; Yale University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12189
• 发表日期: 2014
• 页码: 2557-2596
• 关键词: expected stock returns; RISK; consumption; liquidity; models

摘要

Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker-dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single-factor model prices size, book-to-market, momentum, and bond portfolios with an R-2 of 77% and an average annual pricing error of 1%performing as well as standard multifactor benchmarks designed to price these assets.