دانلود مقاله ISI انگلیسی شماره 104037
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
104037 2017 78 صفحه PDF سفارش دهید 29492 کلمه
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عنوان انگلیسی
Intermediary asset pricing: New evidence from many asset classes
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Financial Economics, Volume 126, Issue 1, October 2017, Pages 1-35

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چکیده انگلیسی

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.

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