Intermediary asset pricing: New evidence from many asset classes
| Autor: | Asaf Manela, Bryan T. Kelly, Zhiguo He |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
050208 finance Leverage (finance) Financial economics Strategy and Management Consumption-based capital asset pricing model 05 social sciences Financial intermediary Accounting 0502 economics and business Arbitrage pricing theory Economics Capital asset pricing model 050207 economics Direct finance Basis risk Finance Alternative asset |
| Zdroj: | Journal of Financial Economics. 126:1-35 |
| ISSN: | 0304-405X |
| DOI: | 10.1016/j.jfineco.2017.08.002 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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