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Intermediary Asset Pricing - American Economic Association
https://www.aeaweb.org/articles?id=10.1257/aer.103.2.732
Apr 01, 2013 · We model the dynamics of risk premia during crises in asset markets 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. The calibrated model matches the nonlinearity of risk premia during crises and the speed of reversion in risk premia …
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Intermediary asset pricing: New evidence from many …
https://www.sciencedirect.com/science/article/pii/S0304405X1730212X
Oct 01, 2017 · In all asset classes, the estimated price of risk on intermediary equity shocks remains positive and economically large (at least 5% per quarter in each asset class). For the all portfolios test, the price of intermediary equity risk is 9% per quarter, which is the same as that of intermediary capital risk factor. Author: Zhiguo He, Bryan T. Kelly, Asaf Manela E/P growth: − 0.75 Publish Year: 2017 GDP growth: 0.20
Author: Zhiguo He, Bryan T. Kelly, Asaf Manela
E/P growth: − 0.75
Publish Year: 2017
GDP growth: 0.20
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The Role of Intermediaries in Asset Pricing | BFI
https://bfi.uchicago.edu/news/the-role-of-intermediaries-in-asset-pricing/
May 11, 2017 · Theoretical models with a role for intermediaries: Most forms of the Capital Asset Pricing Model assume that price differences can be effortlessly arbitraged away. Newer asset pricing models allow for limits to arbitrage, such as an inability to borrow or lend large amounts of money at the risk-free rate.
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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
4 rows · Intermediary Asset Pricing † By Zhiguo He and Arvind Krishnamurthy* We model the dynamics of risk ... File Size: 978KB Page Count: 41
File Size: 978KB
Page Count: 41
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Intermediary Asset Pricing and the Financial Crisis
https://www.gsb.stanford.edu/faculty-research/publications/intermediary-asset-pricing-financial-crisis
View Publication Download. “Intermediary 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. This article explains the theory behind intermediary asset pricing and in …
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Intermediary Asset Pricing - JSTOR
https://www.jstor.org/stable/23469681
the traditional approach treats intermediaries as a "veil," and instead posits that a representative household is marginal in pricing all assets. Thus, the pricing kernel for the Standard & Poor's (S&P) 500 stock index is the same as the pricing kernel for mortgage-backed securities. Yet many crises, such as the subprime crisis and the
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INTERMEDIARY ASSET PRICING: NEW EVIDENCE …
https://www.nber.org/system/files/working_papers/w21920/w21920.pdf
intermediary asset pricing theory, is that the classic risk-return asset pricing trade-off is more likelytoholdoncewereplacethefirst-orderconditionofunsophisticatedhouseholdswiththatof sophisticatedintermediaries.
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Intermediary Asset Pricing - NBER
https://www.nber.org/system/files/working_papers/w14517/w14517.pdf
With this assumption, the traditional approach treats intermediaries as a “veil,” and instead posits that a representative household is marginal in pricing all assets. Thus, the pricing kernel for the S&P500 stock index is the same as the pricing kernel for mortgage-backed securities.
DA: 35 PA: 68 MOZ Rank: 88
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Intermediary Asset Pricing during the National …
https://www.federalreserve.gov/econres/ifdp/files/ifdp1302.pdf
The intermediary asset pric- ing literature argues it is due to frictions faced by the intermediaries that are the marginal investors in a variety of assets, but proving this argument is di cult. First, intermediary balance sheet changes may re ect other factors that a …
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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
Intermediary asset pricing understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phe- nomenainthefinancialcrisis,intermediaryassetpricinghasbeenoneofthe fastest-growing areas of research in finance.
DA: 97 PA: 95 MOZ Rank: 46
