Financial Flexibility, Bank Capital Flows, and Asset Prices

• 成果类型: Article
• 署名作者: Parlour, Christine A.; Stanton, Richard; Walden, Johan
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01770.x
• 发表日期: 2012
• 页码: 1685-1722
• 关键词: Exchange economy; stock returns; equilibrium; GROWTH; valuation; transmission; MARKETS; CRISIS; income

摘要

In our parsimonious general-equilibrium model of banking and asset pricing, intermediaries have the expertise to monitor and reallocate capital. We study financial development, intraeconomy capital flows, the size of the banking sector, the value of intermediation, expected market returns, and the risk of bank crashes. Asset pricing implications include: a markets dividend yield is related to its financial flexibility, and capital flows should be important in explaining expected returns and the risk of bank crashes. Our predictions are broadly consistent with the aggregate behavior of U.S. capital markets since 1950.