Heterogeneous Intermediary Asset Pricing
| Autor: | Mahyar Kargar |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Leverage (finance) Strategy and Management Risk premium 05 social sciences 04 agricultural and veterinary sciences Monetary economics Empirical measure Great recession Intermediary Accounting 0502 economics and business Economics 0401 agriculture forestry and fisheries Capital asset pricing model Balance sheet Business Asset (economics) Excess return Finance |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3258119 |
| Popis: | I show that the composition of the financial sector has important asset pricing implications beyond the health of the aggregate financial sector. To assess the impact of massive balance sheet adjustments within the intermediary sector during the Great Recession and resolve conflicting asset pricing evidence, I propose a dynamic asset pricing model with heterogeneous intermediaries facing financial frictions. Asset flows between intermediaries are quantitatively important for both the level of and variation in the risk premium. An empirical measure of the composition of the intermediary sector negatively forecasts future excess returns and is priced in the cross-section with a positive price of risk. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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