Intermediation frictions in equity markets☆

• 成果类型: Article
• 署名作者: Seegmiller, Bryan
• 署名单位: Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104223
• 发表日期: 2026-02
• 页码: 104223
• 关键词: Intermediation; EQUITY MARKETS; Risk-bearing capacity; asset pricing; cross-section; Hedge funds; institutional investors; DELISTING BIAS; risk premia; liquidity; arbitrage; demand; Sentiment; DYNAMICS

摘要

Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk-bearing capacity of dealer banks. After observable stock characteristics are accounted for, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. Intermediary risk-bearing capacity also explains a substantial and increasing fraction of the variation in conditional risk premia for portfolios sorted on intermediation. These effects are concentrated in stocks held by hedge funds or mutual fund investors who are more likely to be exposed to dealer banks. The empirical evidence supports the predictions of asset pricing models in which financial intermediaries are marginal investors but face frictions that induce changes in their risk-bearing capacity.