Heterogeneous Intermediary Asset Pricing

93 Pages Posted: 27 Nov 2018 Last revised: 23 Sep 2019

See all articles by Mahyar Kargar

Mahyar Kargar

Gies College of Business, University of Illinois at Urbana-Champaign

Date Written: November 23, 2018

Abstract

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 level and variation of risk premia. 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.

Keywords: Heterogeneous Intermediaries, Intermediary Asset Pricing, Leverage Cyclicality

JEL Classification: G12, G11, G21

Suggested Citation

Kargar, Mahyar, Heterogeneous Intermediary Asset Pricing (November 23, 2018). Available at SSRN: https://ssrn.com/abstract=3258119 or http://dx.doi.org/10.2139/ssrn.3258119

Mahyar Kargar (Contact Author)

Gies College of Business, University of Illinois at Urbana-Champaign ( email )

Champaign, IL 61820
United States

HOME PAGE: http://mahyarkargar.com

Register to save articles to
your library

Register

Paper statistics

Downloads
13
Abstract Views
82
PlumX Metrics