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Intermediary Asset Pricing - American Economic Association
https://www.aeaweb.org/articles/pdf/doi/10.1257/aer.103.2.732
WEBApr 1, 2013 · Intermediary Asset Pricing by Zhiguo He and Arvind Krishnamurthy. Published in volume 103, issue 2, pages 732-70 of American Economic Review, April 2013, Abstract: We model the dynamics of risk premia during crises in asset markets where the marginal …
DA: 3 PA: 68 MOZ Rank: 43
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Intermediary Asset Pricing and the Financial Crisis
https://www.jstor.org/stable/23469681
WEBIntermediary asset pricing understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phenomena in the financial crisis, intermediary asset pricing has been one of the fastest-growing areas of research in finance.
DA: 53 PA: 70 MOZ Rank: 7
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Intermediary asset pricing: New evidence from many asset classes
https://www.nber.org/papers/w24415
WEBOct 1, 2017 · Intermediary asset pricing theories offer a new perspective for understanding risk premia. These theories are predicated on the fact that financial intermediaries are in the advantageous position of trading almost all asset classes, anytime and everywhere. Author: Zhiguo He, Bryan T. Kelly, Asaf Manela Publish Year: 2017
Author: Zhiguo He, Bryan T. Kelly, Asaf Manela
Publish Year: 2017
DA: 33 PA: 32 MOZ Rank: 70
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INTERMEDIARY ASSET PRICING: NEW EVIDENCE FROM …
https://www.nber.org/system/files/working_papers/w21920/w21920.pdf
WEBThe 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 … Author: Zhiguo He, Bryan T. Kelly, Asaf Manela Publish Year: 2017
Author: Zhiguo He, Bryan T. Kelly, Asaf Manela
Publish Year: 2017
DA: 79 PA: 96 MOZ Rank: 76
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Intermediary Asset Pricing - Macro Finance Research Program
https://mfm.uchicago.edu/wp-content/uploads/2020/07/He-Krishnamurthy-Intermediary-Asset-Pricing.pdf
WEBIntermediary Asset Pricing†. By Zhiguo He and Arvind Krishnamurthy*. We model the dynamics of risk premia during crises in asset mar-kets where the marginal investor is a financial intermediary. Intermediaries face an equity capital constraint. Risk premia rise when the constraint binds, reflecting the capital scarcity. File Size: 978KB Page Count: 41
File Size: 978KB
Page Count: 41
DA: 35 PA: 43 MOZ Rank: 24
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Intermediary Asset Pricing | NBER
https://www.nber.org/papers/w14517
WEBThe paper develops a model to explain the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. It also evaluates the effectiveness of various central bank policies to mitigate the impact of crises.
DA: 38 PA: 19 MOZ Rank: 42
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Intermediary Asset Pricing and the Financial Crisis | NBER
https://www.nber.org/papers/w24415
WEBThis article reviews the theory and evidence of intermediary asset pricing, a framework that explains asset prices and risk premia through financial frictions. It shows how intermediary asset pricing can help understand the causes and consequences of …
DA: 75 PA: 71 MOZ Rank: 94
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Heterogeneous intermediary asset pricing - ScienceDirect
https://www.sciencedirect.com/science/article/pii/S0304405X21001392
WEBAug 1, 2021 · 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.
DA: 47 PA: 99 MOZ Rank: 93
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Intermediary Asset Pricing and the Financial Crisis
https://cpb-us-w2.wpmucdn.com/voices.uchicago.edu/dist/6/2325/files/2019/12/annurev-financial-110217-022636.pdf
WEBIntermediary asset pricing understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phe-nomena in the financial crisis, intermediary asset pricing has been one of the fastest-growing areas of research in finance.
DA: 29 PA: 14 MOZ Rank: 13
