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Financial Intermediaries and the Cross-Section of Asset Returns

The Journal of finance (New York), 2014-12, Vol.69 (6), p.2557-2596 [Tạp chí có phản biện]

2014 American Finance Association ;2014 the American Finance Association ;Copyright Blackwell Publishers Inc. Dec 2014 ;ISSN: 0022-1082 ;EISSN: 1540-6261 ;DOI: 10.1111/jofi.12189 ;CODEN: JLFIAN

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Nhan đề:
Financial Intermediaries and the Cross-Section of Asset Returns
Tác giả: ADRIAN, TOBIAS ; ETULA, ERKKO ; MUIR, TYLER
Chủ đề: Assets ; Bond markets ; Bond portfolios ; Economic models ; Error ; Financial intermediaries ; Financial leverage ; Financial portfolios ; Funding ; Investment risk ; Marginal value ; Market theory ; Portfolio management ; Price momentum ; Pricing ; Rates of return ; Securities trading ; Stochastic processes ; Stock brokers ; Studies ; Time series ; Wealth
Là 1 phần của: The Journal of finance (New York), 2014-12, Vol.69 (6), p.2557-2596
Mô tả: 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 R² of 77% and an average annual pricing error of 1%—performing as well as standard multifactor benchmarks designed to price these assets.
Nơi xuất bản: Cambridge: Blackwell Publishing Ltd
Ngôn ngữ: English
Số nhận dạng: ISSN: 0022-1082
EISSN: 1540-6261
DOI: 10.1111/jofi.12189
CODEN: JLFIAN
Nguồn: Alma/SFX Local Collection

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Financial Intermediaries and the Cross-Section of Asset Returns

2014 American Finance Association ;2014 the American Finance Association ;Copyright Blackwell Publishers Inc. Dec 2014 ;ISSN: 0022-1082 ;EISSN: 1540-6261 ;DOI: 10.1111/jofi.12189 ;CODEN: JLFIAN

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