SAIF Seminar Series (35)
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Topic: | SAIF Seminar Series (35) | |
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Time: | Friday , 2011-04-15 12:00-08:00 | |
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Speaker: | , | |
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Affiliations: | Federal Reserve Bank of New York | |
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Topic:
SAIF Seminar Series (35)
Time:
星期四,2011-04-15 10:30-12:00
Venue:
Room 504, Datong Building West Huaihai Road 211, SAIF
Speaker:
Tobias Adrian
Financial Intermediaries and the Cross-Section of Asset ReturnsWe document that risky asset returns can largely be explained by their covariance with shocks to the aggregate leverage of security broker-dealers. Our single-factor leverage model compares favourably with standard models, including multi-factor equity models tested in cross-sections sorted by size and book-to-market, momentum, and industries. The model also performs favorably in the cross-section of Treasury portfolios. Our findings indicate that broker-dealer leverage is a valid representation of the stochastic discount factor, an interpretation consistent with recent intermediary asset pricing theories. |
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