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- W15381331 abstract "We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross-sectional tests of a wide variety of equity and bond portfolios. The model outperforms alternative specifications of intermediary pricing models that use intermediary net worth as a state variable, and it performs well in comparison to benchmark asset pricing models. We draw implications for macro-economic modeling." @default.
- W15381331 created "2016-06-24" @default.
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- W15381331 date "2013-01-01" @default.
- W15381331 modified "2023-10-18" @default.
- W15381331 title "Leverage Asset Pricing" @default.
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- W15381331 doi "https://doi.org/10.2139/ssrn.2321180" @default.
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